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Appears in Collections:Economics Working Papers
Peer Review Status: Unrefereed
Title: Modelling stock returns in Africa's emerging equity markets
Author(s): Alagidede, Paul
Panagiotidis, Theodore
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Citation: Alagidede P & Panagiotidis T (2009) Modelling stock returns in Africa's emerging equity markets. Stirling Economics Discussion Paper, 2009-04.
Keywords: Stock Returns
Weak Form Efficiency
Asymmetric Volatility
African Stock Markets
Stock exchanges Africa
Africa Economic conditions
JEL Code(s): C22: Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
C52: Model Evaluation, Validation, and Selection
G10: General Financial Markets: General (includes Measurement and Data)
Issue Date: 1-Jan-2009
Date Deposited: 28-Jan-2009
Series/Report no.: Stirling Economics Discussion Paper, 2009-04
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 from efficiency. The empirical stylized facts of volatility clustering, leptokurtosis and leverage effect are present in the African data.
Type: Working Paper
Affiliation: Economics
University of Macedonia

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