Economics at your fingertips  

Modelling long memory in volatility in sub-Saharan African equity markets

Saint Kuttu

Research in International Business and Finance, 2018, vol. 44, issue C, 176-185

Abstract: This study examines the long memory properties in the second moments of the return series in the equity markets of Ghana, Kenya, Nigeria and South Africa. Using 5219 daily observations of thin-trading adjusted total equity market return data, we find the presence of long-range dependency in the second moments of the return innovations in all the four countries’ equity markets in the full sample. To isolate spurious long memory, we perform structural breaks analysis to guide us in splitting the data for further examination. We find that all the four countries exhibited two structural breaks each during the sample period, and long memory identified in these two markets were not influenced by the structural breaks. This finding may have an influence on portfolio diversification and risk management. The long memory characteristics in the conditional volatility may also provide useful information to market participants in pricing long-term derivative contracts.

Keywords: Long memory; Thin-trading; FIEGARCH; Sub-Sahara African equity markets; Structural breaks (search for similar items in EconPapers)
JEL-codes: C22 G15 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: 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

Research in International Business and Finance is currently edited by T. Lagoarde Segot

More articles in Research in International Business and Finance from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

Page updated 2019-05-10
Handle: RePEc:eee:riibaf:v:44:y:2018:i:c:p:176-185