Testing weak form informational efficiency on the Tunisian stock market using long memory models

The purpose of this paper is to test the weak-form market efficiency of the Tunisian stock market using recent developments in time series econometrics. The efficiency hypothesis was tested by using the class of long memory models namely ARFIMA-FIGARCH. For this, we will attempt to examine the long memory behavior in the returns and the volatility series of the Tunisian stock market index namely Tunindex. Our empirical study covers a sample covering the Tunindex during the period: 02/01/1998 to 16/03/2018. Our results show the presence of the long memory property in the return and volatility specified respectively by an ARFIMA and FIGARCH process. This result implies that it is possible to predict future stock prices and an extraordinary gain could be obtained when trading in this market, which displays that the Tunisian stock market is not efficient in its weak-form.