Time-varying conditional discrete jumps in emerging African equity markets
Global Finance Journal, 2017, vol. 32, issue C, 35-54
An ARJI-EGARCH model which is a modified version of the Chan and Maheu (2002) methodology is used to examine the time-varying conditional discrete jump dynamics in thinly-traded adjusted equity returns of Egypt, Nigeria and South Africa. The findings suggest that conditional discrete jump is both time-varying and sensitive to past shocks for Egypt and South Africa but not for Nigeria. Conditional discrete jump sensitivity is persistent in all the markets, and only South Africa is more likely to exhibit asymmetric conditional jump volatility. We provide evidence that the presence of thin-trading overstates the economic significance of the conditional discrete jump dynamics.
Keywords: Conditional discrete jump; Poisson process; ARJI-EGARCH; Thin-trading; Emerging equity markets (search for similar items in EconPapers)
JEL-codes: C22 G15 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:glofin:v:32:y:2017:i:c:p:35-54
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