A Test of the Micro-Efficiency of the Zimbabwe Stock Exchange

This research tested the validity of Samuelson's Dictum on the Zimbabwe Stock Exchange (ZSE) for the period 1 April 2009 to 31 May 2016. The research focuses on the weak form of the EMH in testing the validity of the dictum. The researcher uses parametric tests (autocorrelation tests), non parametric tests (runs tests) as well as visual analysis (graphical analysis) to draw conclusions on the weak form efficiency of the ZSE. The tests were conducted at the 95% confidence level. The analysis concluded that Samuelson's (1998) dictum is indeed true for the ZSE as it was found that of the 31 stocks analysed, 22 stocks had a random return series (thus implying micro efficiency) whilst the Zimbabwe Industrials Index series, which was used as a proxy for the market return, was found to be non random; thus implying macro inefficiency.