Do benchmark African equity indices exhibit the stylized facts?

Youwei Li, Philip A. Hamill and Kwaku K. Opong

Global Finance Journal, 2010, vol. 21, issue 1, 71-97

Abstract: This paper investigates if benchmark African equity indices exhibit the stylized facts reported for financial time series returns. The returns distributions of the Africa All-Share, Large, Medium and Small Company Indices were found to be leptokurtotic, had fat-tails, over time experienced volatility clustering and exhibited long memory in volatility. Both the All-Share and Large Company Indices were found to exhibit leverage effects. In contrast, positive shocks had a greater impact on future volatility for the Small Company Index which implies a reverse leverage effect. This finding could reflect a bull/bubble market for small capitalisation stocks in Africa.

Keywords: Africa; All-Share; Index; Stylized; facts; GARCH; Fat-tails; Long; memory (search for similar items in EconPapers)
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:eee:glofin:v:21:y:2010:i:1:p:71-97

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