Persistent stock market returns volatility in emerging capital markets as evidenced in Tanzania

Asheri Mwidege

African Journal of Economic and Sustainable Development, 2021, vol. 8, issue 3, 230-238

Abstract: This study examined the stock returns volatility in Dar es Salaam Stock Exchange for the year 1998 through 2018 period. The study employed quantitative research design on time series data in which autoregressive conditional heteroskedasticity and generalised autoregressive conditional heteroskedasticity models were used determine the existence of volatility. The study employed Win Rat and E-views Econometric software for data analysis. Serial correlation and unit root analysed to determine seasonal dependencies of the stock market returns and stationarity, respectively. Results showed that all-time series of returns were non-stationary except at market level and volatility of stock returns had a constant decaying coefficient value of 0.75 per trading period. The study concluded that the shocks to volatility were more persistent and had a slower and constant decaying rate in various trading periods in DSE. Therefore, it was recommended that the public should buy and sell shares in the market.

Keywords: stock market; market returns; volatility; ARCH; GARCH; DSE. (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:ids:ajesde:v:8:y:2021:i:3:p:230-238

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