Economics at your fingertips  

Return behaviour in Africa's emerging equity markets

Paul Alagidede ()

The Quarterly Review of Economics and Finance, 2011, vol. 51, issue 2, 133-140

Abstract: This paper provides evidence on return predictability in Africa's emerging equity markets. We concentrate our analysis on the behaviour of the first and second moments of return behaviour, risk return trade off and mean reversion. In a novel contribution to the stock return literature, we establish that individual time varying returns are predictable. Moreover, we find that empirical stylized facts such as volatility clustering, leptokurtosis and leverage effect are present in the African data. Using fractional integration techniques, we find that all African markets in our sample display evidence of long memory: an important indication of less than perfect arbitrage.

Keywords: Return; predictability; Volatility; Long; memory; Nonlinearity; African; stock; markets (search for similar items in EconPapers)
Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (16) Track citations by RSS feed

Downloads: (external link)
Full text for ScienceDirect subscribers only

Related works:
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:

Access Statistics for this article

The Quarterly Review of Economics and Finance is currently edited by R. J. Arnould and J. E. Finnerty

More articles in The Quarterly Review of Economics and Finance from Elsevier
Bibliographic data for series maintained by Haili He ().

Page updated 2021-01-04
Handle: RePEc:eee:quaeco:v:51:y:2011:i:2:p:133-140