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Modelling stock returns in Africa's emerging equity markets

Alagidede, Paul and Panagiotidis, Theodore (2009) Modelling stock returns in Africa's emerging equity markets. International Review of Financial Analysis, 18 (1-2). pp. 1-11.

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Abstract

We investigate the behaviour of stock returns in Africa's largest markets namely, Egypt, Kenya, Morocco, Nigeria, South Africa, Tunisia and Zimbabwe. The validity of the random walk hypothesis is examined and rejected by employing a battery of tests. Secondly we employ smooth transition and conditional volatility models to uncover the dynamics of the first two moments and examine weak form efficiency. The empirical stylized facts of volatility clustering, leptokurtosis and leverage effect are present in the African data.

Item Type: Article
Uncontrolled Keywords: Stock returns Weak form efficiency Asymmetric volatility African stock markets
Depositing User: Admin Admin
Date Deposited: 13 Oct 2015 17:57
Last Modified: 13 Oct 2015 17:57
URI: http://eprints.lib.uom.gr/id/eprint/544

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