Do benchmark African equity indices exhibit the stylized facts?

Youwei Li, Philip A. Hamill, Kwaku K. Opong

Research output: Contribution to journalArticlepeer-review

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
Number of pages27
JournalGlobal Finance Journal
Volume21
Issue number1
DOIs
Publication statusPublished - 2010

ASJC Scopus subject areas

  • Economics and Econometrics
  • Finance

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