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http://hdl.handle.net/1893/715| 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 |
| Contact Email: | paul.alagidede@stir.ac.uk |
| 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 |
| URI: | http://hdl.handle.net/1893/715 |
| Affiliation: | Economics University of Macedonia |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| SEDP-2009-04-Alagidede-Panagiotidis.pdf | Fulltext - Accepted Version | 266.93 kB | Adobe PDF | View/Open |
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