Modelling stock returns in Africa's emerging equity markets

Imhotep Alagidede () and Theodore Panagiotidis

International Review of Financial Analysis, 2009, vol. 18, issue 1-2, 1-11

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 form 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)
Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (23)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1057-5219(09)00006-4
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Modelling stock returns in Africa’s emerging equity markets (2009)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:18:y:2009:i:1-2:p:1-11

Access Statistics for this article

International Review of Financial Analysis is currently edited by B.M. Lucey

More articles in International Review of Financial Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().