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

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  • 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)

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    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.

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    Bibliographic Info

    Article provided by Cyprus Economic Society and University of Cyprus in its journal Ekonomia.

    Volume (Year): 2 (1998)
    Issue (Month): 2 (Winter)
    Pages: 171-185

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    Handle: RePEc:ekn:ekonom:v:2:y:1998:i:2:p:171-185

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    Web page: http://www.ekonomia.ucy.ac.cy/
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    Cited by:
    1. Menelaos Karanasos & J. Kim, . "Moments of the ARMA-EGARCH Model," Discussion Papers 00/29, Department of Economics, University of York.

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