Do Benchmark African Equity Indices Exhibit the Stylized Facts?

Youwie Li, Philip Hamill, Kwaku Opong

    Research output: Contribution to journalArticle

    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.
    Original languageEnglish
    Pages (from-to)71-97
    JournalGlobal Finance Journal
    Volume21
    Issue number1
    DOIs
    Publication statusPublished - 2010

    Keywords

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

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