Return and volatility dynamics among four African equity markets: A multivariate VAR-EGARCH analysis

Saint Kuttu

Global Finance Journal, 2014, vol. 25, issue 1, 56-69

Abstract: A multivariate VAR-EGARCH is used to examine the returns and volatility dynamics between thin-traded adjusted equity returns from Ghana, Kenya, Nigeria and South Africa. The findings suggest a reciprocal return spillover between Ghana and Kenya, and between Nigeria and South Africa. In addition, Nigeria appears to be the source of volatility innovations in Ghana, Kenya and South Africa. Own market volatility is pronounced, and volatility is highly persistent in all four markets with Ghana, Kenya and South Africa exhibiting volatility asymmetry.

Keywords: Returns; Volatility; Interdependence; Thin trading; Equity (search for similar items in EconPapers)
JEL-codes: E37 G14 G15 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:glofin:v:25:y:2014:i:1:p:56-69

DOI: 10.1016/j.gfj.2014.03.001

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