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- Modelling Stock Returns in Africa’s Emerging Equity Markets
Modelling Stock Returns in Africa’s Emerging Equity Markets
Auteur :
Alagidede
Paul,
Panagiotidis
Theodore
Année de Publication :
2009
Type : Etude
Thème : Finances
Couverture :
Maroc
URL Article :
https://dspace.stir.ac.uk/bitstream/1893/715/1/SEDP-2009-04-Alagidede-Panagiotidis.pdfURL Source :
https://dspace.stir.ac.uk 
Télécharger le document :
(266,93 kB) Modelling Stock Returns in Africa’s Emerging Equity Markets.pdfRésumé/Sommaire :
We investigate the behaviour of stock returns in Africa’s largest markets namely, Egypt, Kenya, Morocco, Nigeria, South Africa, Tunisia and Zimbabwe. The validity of the random walk hypothesis is examined and rejected by employing a battery of tests. Secondly we employ smooth transition and conditional volatility models to uncover the dynamics of the first two moments and examine weak from efficiency. The empirical stylized facts of volatility clustering, leptokurtosis and leverage effect are present in the African data.
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