Previsibilité des rentabilités boursieres: cas de la BRVM

The objective of this paper is to study the weak form efficiency hypothesis on the regional stock exchange for the West African States by examining whether past returns can help in predicting futures returns over the period 2 January 2002 to 31 December 2004. The study utilizes daily data and tests whether stock index returns are correlated. Two tests are applied: the tests of Box-Pierce and Box-Pierce corrected for heteroscedasticity, and the runs test. Our results suggest that it is impossible to predict future returns from past returns, which is coherent with the weak form efficiency hypothesis.