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Do benchmark African equity indices exhibit the stylized facts?

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

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.

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Article provided by Elsevier in its journal Global Finance Journal.

Volume (Year): 21 (2010)
Issue (Month): 1 ()
Pages: 71-97

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Handle: RePEc:eee:glofin:v:21:y:2010:i:1:p:71-97
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620162

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