Modelling stock returns in Africa’s emerging equity markets

Imhotep Alagidede () and Theodore Panagiotidis

Discussion Paper Series from Department of Economics, University of Macedonia

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. .

Keywords: Stock Returns; Weak Form Efficiency; Asymmetric Volatility and African Stock Markets. (search for similar items in EconPapers)
JEL-codes: C22 C52 G10 (search for similar items in EconPapers)
Date: 2009-01, Revised 2009-01
New Economics Papers: this item is included in nep-afr and nep-ara
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (13)

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Journal Article: Modelling stock returns in Africa's emerging equity markets (2009)
Working Paper: Modelling stock returns in Africa's emerging equity markets (2009)
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