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Volatility and Volatility Spill-overs in Emerging Markets: The case of the African Stock Markets

Author

Listed:
  • Joe Appiah-Kusi

    (Centre for Empirical Research in Finance, Department of Economics and Finance, Durham University, UK)

  • Gioia M Pescetto

    (Centre for Empirical Research in Finance, Department of Economics and Finance, Durham University, UK)

Abstract

In the light of the increasingly important role played by emerging stock markets in international investment strategies, this paper contributes to the literature by analyzing the important issues of volatility and volatility spill-overs in the African markets. Using an EGARCH model which incorporates asymmetric volatility responses to market innovations, the paper offers some support to the commonly held view that African markets are highly volatile. However, it also shows that investors are compensated for facing a higher risk, though increased risk premia. Furthermore, the evidence suggests that volatility responses are asymmetric and tend to other African markets. In particular, spill-over effects are found between countries with strong economic links.

Suggested Citation

  • Joe Appiah-Kusi & Gioia M Pescetto, 1998. "Volatility and Volatility Spill-overs in Emerging Markets: The case of the African Stock Markets," Ekonomia, Cyprus Economic Society and University of Cyprus, vol. 2(2), pages 171-185, Winter.
    • Handle: RePEc:ekn:ekonom:v:2:y:1998:i:2:p:171-185
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    Citations

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    Cited by:

    1. Abubakar Jamaladeen & David E. Omoregie & Samuel F. Onipede & Nafiu A. Bashir, 2022. "A regime-switching skew-normal model of contagion in some selected stock markets," SN Business & Economics, Springer, vol. 2(12), pages 1-20, December.
    2. M. Karanasos & J. Kim, 2003. "Moments of the ARMA--EGARCH model," Econometrics Journal, Royal Economic Society, vol. 6(1), pages 146-166, June.
    3. Eymen Errais & Dhikra Bahri, 2016. "Is Standard Deviation a Good Measure of Volatility? the Case of African Markets with Price Limits," Annals of Economics and Finance, Society for AEF, vol. 17(1), pages 145-165, May.

    More about this item

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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