Thin trading, market efficiency tests and The Johannesburg Stock Exchange: a rejoinder

Abstract

Gilbertson and Roux's reply to criticism of their tests for efficiency on The Johannesburg Stock Exchange (JSE) contains little that is new, apart from a few contrived arguments. Gilbertson and Roux have made no more than a weak attempt to allow for the impact of thin trading and are claiming more for their tests than sober analysis would permit. At best, they have shown the Efficient Market Hypothesis to be consistent with approximately half of the JSE.