Abstract
Language | English |
---|---|
Pages | 71-97 |
Journal | Global Finance Journal |
Volume | 21 |
Issue number | 1 |
DOIs | |
Publication status | Published - 2010 |
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Keywords
- Africa All-Share Index
- Stylized facts
- GARCH
- Fat-tails
- Long memory
Cite this
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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
TY - JOUR
T1 - Do Benchmark African Equity Indices Exhibit the Stylized Facts?
AU - Li, Youwie
AU - Hamill, Philip
AU - Opong, Kwaku
PY - 2010
Y1 - 2010
N2 - 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.
AB - 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.
KW - Africa All-Share Index
KW - Stylized facts
KW - GARCH
KW - Fat-tails
KW - Long memory
U2 - 10.1016/j.gfj.2010.03.006
DO - 10.1016/j.gfj.2010.03.006
M3 - Article
VL - 21
SP - 71
EP - 97
JO - Global Finance Journal
T2 - Global Finance Journal
JF - Global Finance Journal
SN - 1044-0283
IS - 1
ER -