Modelling stock returns in Africa's emerging equity markets

Citation

Alagidede P & Panagiotidis T (2009) Modelling stock returns in Africa's emerging equity markets. Stirling Economics Discussion Paper, 2009-04.

Abstract
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.

Keywords
Stock Returns; Weak Form Efficiency; Asymmetric Volatility; African Stock Markets; Stock exchanges Africa; Africa Economic conditions

JEL codes

• C22: Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
• C52: Model Evaluation, Validation, and Selection
• G10: General Financial Markets: General (includes Measurement and Data)