Do benchmark African equity indices exhibit the stylized facts?
Data(s) |
2010
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Resumo |
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. |
Identificador | |
Idioma(s) |
eng |
Direitos |
info:eu-repo/semantics/closedAccess |
Fonte |
Li , Y , Hamill , P A & Opong , K K 2010 , ' Do benchmark African equity indices exhibit the stylized facts? ' Global Finance Journal , vol 21 , no. 1 , pp. 71-97 . DOI: 10.1016/j.gfj.2010.03.006 |
Palavras-Chave | #/dk/atira/pure/subjectarea/asjc/2000/2002 #Economics and Econometrics #/dk/atira/pure/subjectarea/asjc/2000/2003 #Finance |
Tipo |
article |