Volatility and Volatility Spill-overs in Emerging Markets: The case of the African Stock Markets
AbstractIn 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 InfoArticle provided by Cyprus Economic Society and University of Cyprus in its journal Ekonomia.
Volume (Year): 2 (1998)
Issue (Month): 2 (Winter)
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- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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- Menelaos Karanasos & J. Kim, .
"Moments of the ARMA-EGARCH Model,"
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