Modelling stock returns in Africa's emerging equity markets

Paul Alagidede () and Theodore Panagiotidis ()

No 2009-04, Stirling Economics Discussion Papers from University of Stirling, Department of Economics

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; African Stock Markets (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-afr and nep-fmk
Date: 2009-01

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Related works:
Working Paper: Modelling stock returns in Africa’s emerging equity markets (2009)
Journal Article: Modelling stock returns in Africa's emerging equity markets (2009)
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Persistent link: http://EconPapers.repec.org/RePEc:stl:stledp:2009-04

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