Stock Market Volatility Clustering and Asymmetry in Africa: A Post Global Financial Crisis Evidence

Kalu O. Emenike
Authors registered in the RePEc Author Service: Emenike Kalu O.

MPRA Paper from University Library of Munich, Germany

Abstract: This paper evaluates the nature of stock market volatility in Africa after the global financial crisis. Specifically, the paper examines volatility clustering and volatility asymmetry in aftermath of the global financial crisis for Botswana, Régionale des Valeurs Mobilières (BRVM), Egypt, Ghana, Kenya, Malawi, Mauritius, Morocco, Namibia, Nigeria, Rwanda, South Africa, Tunisia, Uganda, and Zambia. The paper employs autoregressive asymmetric generalized autoregressive conditional heteroscedasticity (AR(i)-GJR-GARCH(1,1)) model. The major findings are as follows: (i) there is evidence of volatility clustering in Africa stock markets returns after the global financial crisis, although with varying degrees; (ii) there is existence of volatility persistence in the African stock market returns after the global financial crisis except for few countries, which are not very persistent; (iii) after the global financial crisis, Africa stock markets returns are asymmetric, with negative shocks producing higher volatility in the immediate future than positive shocks of the same magnitude in some countries, and positive shocks producing higher volatility in other countries. The findings provide comparative basis for assessing market patterns, predicting market risk, and gauging market sentiment in Africa stock markets, as well as provide foreign portfolio managers required evidence for harvesting volatility through portfolio rebalancing for optimal performance.

Keywords: stock market returns; volatility clustering; asymmetry; GARCH models; Africa (search for similar items in EconPapers)
JEL-codes: C22 G0 N27 (search for similar items in EconPapers)
Date: 2018-10-07
New Economics Papers: this item is included in nep-afr, nep-cfn, nep-ets and nep-rmg
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