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Do Benchmark African Equity Indices Exhibit the Stylized Facts?

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Li, Youwie, Hamill, Philip and Opong, Kwaku (2010) Do Benchmark African Equity Indices Exhibit the Stylized Facts? Global Finance Journal, 21 (1). pp. 71-97. [Journal article]

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DOI: 10.1016/j.gfj.2010.03.006

Abstract

This paper investigates if benchmark African equity indices exhibit the stylized facts reported for financial time-series returns. The returns distributions of the Africa All-Share, Large, Medium and Small Company Indices were found to be leptokurtotic, had fat-tails, over time experienced volatility clustering and exhibited long memory in volatility. Both the All-Share and Large Company Indices were found to exhibit leverage effects. In contrast, positive shocks had a greater impact on future volatility for the Small Company Index which implies a reverse leverage effect. This finding could reflect a bull/bubble market for small capitalisation stocks in Africa.

Item Type:Journal article
Keywords:Africa All-Share Index Stylized facts GARCH Fat-tails Long memory
Faculties and Schools:Ulster Business School
Ulster Business School > Department of Business and Enterprise
Research Institutes and Groups:Business and Management Research Institute
ID Code:9069
Deposited By:Professor Philip Hamill
Deposited On:30 Jan 2012 16:10
Last Modified:30 Jan 2012 16:10

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