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Return behaviour in Africa's emerging equity markets

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  • Alagidede, Paul

Abstract

This paper provides evidence on return predictability in Africa's emerging equity markets. We concentrate our analysis on the behaviour of the first and second moments of return behaviour, risk return trade off and mean reversion. In a novel contribution to the stock return literature, we establish that individual time varying returns are predictable. Moreover, we find that empirical stylized facts such as volatility clustering, leptokurtosis and leverage effect are present in the African data. Using fractional integration techniques, we find that all African markets in our sample display evidence of long memory: an important indication of less than perfect arbitrage.

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Bibliographic Info

Article provided by Elsevier in its journal The Quarterly Review of Economics and Finance.

Volume (Year): 51 (2011)
Issue (Month): 2 (May)
Pages: 133-140

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Handle: RePEc:eee:quaeco:v:51:y:2011:i:2:p:133-140

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Web page: http://www.elsevier.com/locate/inca/620167

Related research

Keywords: Return predictability Volatility Long memory Nonlinearity African stock markets;

References

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Cited by:
  1. Urquhart, Andrew & Hudson, Robert, 2013. "Efficient or adaptive markets? Evidence from major stock markets using very long run historic data," International Review of Financial Analysis, Elsevier, vol. 28(C), pages 130-142.
  2. Pyemo Afego, 2012. "Weak Form Efficiency of the Nigerian Stock Market: An Empirical Analysis (1984 – 2009)," International Journal of Economics and Financial Issues, Econjournals, vol. 2(3), pages 340-347.

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