Do Benchmark African Equity Indices Exhibit the Stylized Facts?

Youwie Li, Philip Hamill, Kwaku Opong

    Research output: Contribution to journal › Article

    3 Citations (Scopus)

    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.
    LanguageEnglish
    Pages71-97
    JournalGlobal Finance Journal
    Volume21
    Issue number1
    DOIs
    Publication statusPublished - 2010

    Fingerprint

    Stylized facts
    Benchmark
    Africa
    Equity
    Leverage effect
    Small companies
    Fat tails
    Financial time series
    Large companies
    Long memory
    Return distribution
    Bubble
    Capitalization
    Volatility clustering

    Keywords

    • Africa All-Share Index
    • Stylized facts
    • GARCH
    • Fat-tails
    • Long memory

    Cite this

    Li, Youwie ; Hamill, Philip ; Opong, Kwaku. / Do Benchmark African Equity Indices Exhibit the Stylized Facts?. In: Global Finance Journal. 2010 ; Vol. 21, No. 1. pp. 71-97.
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    Li, Y, Hamill, P & Opong, K 2010, 'Do Benchmark African Equity Indices Exhibit the Stylized Facts?', Global Finance Journal, vol. 21, no. 1, pp. 71-97. https://doi.org/10.1016/j.gfj.2010.03.006

    Do Benchmark African Equity Indices Exhibit the Stylized Facts? / Li, Youwie; Hamill, Philip; Opong, Kwaku.

    In: Global Finance Journal, Vol. 21, No. 1, 2010, p. 71-97.

    Research output: Contribution to journal › Article

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    Li Y, Hamill P, Opong K. Do Benchmark African Equity Indices Exhibit the Stylized Facts? Global Finance Journal. 2010;21(1):71-97. https://doi.org/10.1016/j.gfj.2010.03.006

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