Volatility and Volatility Spill-overs in Emerging Markets: The case of the African Stock Markets

Joe Appiah-Kusi and Gioia M Pescetto
Additional contact information
Joe Appiah-Kusi: Centre for Empirical Research in Finance, Department of Economics and Finance, Durham University, UK
Gioia M Pescetto: Centre for Empirical Research in Finance, Department of Economics and Finance, Durham University, UK

Ekonomia, 1998, vol. 2, issue 2, 171-185

Abstract: In the light of the increasingly important role played by emerging stock markets in international investment strategies, this paper contributes to the literature by analyzing the important issues of volatility and volatility spill-overs in the African markets. Using an EGARCH model which incorporates asymmetric volatility responses to market innovations, the paper offers some support to the commonly held view that African markets are highly volatile. However, it also shows that investors are compensated for facing a higher risk, though increased risk premia. Furthermore, the evidence suggests that volatility responses are asymmetric and tend to other African markets. In particular, spill-over effects are found between countries with strong economic links.

JEL-codes: G10 G15 (search for similar items in EconPapers)
Date: 1998
References: Add references at CitEc
Citations: View citations in EconPapers (3)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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: https://EconPapers.repec.org/RePEc:ekn:ekonom:v:2:y:1998:i:2:p:171-185

Access Statistics for this article

More articles in Ekonomia from Cyprus Economic Society and University of Cyprus Contact information at EDIRC.
Bibliographic data for series maintained by Managing Editor ( this e-mail address is bad, please contact ).