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]
Full text not available from this repository.
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|
|Deposited By:||Professor Philip Hamill|
|Deposited On:||30 Jan 2012 16:10|
|Last Modified:||30 Jan 2012 16:10|
Repository Staff Only: item control page