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Please use this identifier to cite or link to this item: http://hdl.handle.net/1893/715
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dc.contributor.authorAlagidede, Paulen_UK
dc.contributor.authorPanagiotidis, Theodoreen_UK
dc.date.accessioned2017-06-22T03:52:02Z-
dc.date.available2017-06-22T03:52:02Z-
dc.date.issued2009-01-01en_UK
dc.identifier.urihttp://hdl.handle.net/1893/715-
dc.description.abstractWe 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 from efficiency. The empirical stylized facts of volatility clustering, leptokurtosis and leverage effect are present in the African data.en_UK
dc.language.isoenen_UK
dc.relationAlagidede P & Panagiotidis T (2009) Modelling stock returns in Africa's emerging equity markets. Stirling Economics Discussion Paper, 2009-04.en_UK
dc.relation.ispartofseriesStirling Economics Discussion Paper, 2009-04en_UK
dc.subjectStock Returnsen_UK
dc.subjectWeak Form Efficiencyen_UK
dc.subjectAsymmetric Volatilityen_UK
dc.subjectAfrican Stock Marketsen_UK
dc.subjectStock exchanges Africaen_UK
dc.subjectAfrica Economic conditionsen_UK
dc.titleModelling stock returns in Africa's emerging equity marketsen_UK
dc.typeWorking Paperen_UK
dc.citation.publicationstatusUnpublisheden_UK
dc.citation.peerreviewedUnrefereeden_UK
dc.type.statusAM - Accepted Manuscripten_UK
dc.author.emailpaul.alagidede@stir.ac.uken_UK
dc.citation.date01/01/2009en_UK
dc.subject.jelC22: Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processesen_UK
dc.subject.jelC52: Model Evaluation, Validation, and Selectionen_UK
dc.subject.jelG10: General Financial Markets: General (includes Measurement and Data)en_UK
dc.contributor.affiliationEconomicsen_UK
dc.contributor.affiliationUniversity of Macedoniaen_UK
dc.identifier.wtid840036en_UK
dcterms.dateAccepted2009-01-01en_UK
dc.date.filedepositdate2009-01-28en_UK
rioxxterms.typeWorking paperen_UK
rioxxterms.versionAMen_UK
local.rioxx.authorAlagidede, Paul|en_UK
local.rioxx.authorPanagiotidis, Theodore|en_UK
local.rioxx.projectInternal Project|University of Stirling|https://isni.org/isni/0000000122484331en_UK
local.rioxx.freetoreaddate2009-01-28en_UK
local.rioxx.licencehttp://www.rioxx.net/licenses/all-rights-reserved|2009-01-28|en_UK
local.rioxx.filenameSEDP-2009-04-Alagidede-Panagiotidis.pdfen_UK
local.rioxx.filecount1en_UK
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