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Return and volatility dynamics among four African equity markets: A multivariate VAR-EGARCH analysis

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  • Kuttu, Saint

Abstract

A multivariate VAR-EGARCH is used to examine the returns and volatility dynamics between thin-traded adjusted equity returns from Ghana, Kenya, Nigeria and South Africa. The findings suggest a reciprocal return spillover between Ghana and Kenya, and between Nigeria and South Africa. In addition, Nigeria appears to be the source of volatility innovations in Ghana, Kenya and South Africa. Own market volatility is pronounced, and volatility is highly persistent in all four markets with Ghana, Kenya and South Africa exhibiting volatility asymmetry.

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  • Kuttu, Saint, 2014. "Return and volatility dynamics among four African equity markets: A multivariate VAR-EGARCH analysis," Global Finance Journal, Elsevier, vol. 25(1), pages 56-69.
    • Handle: RePEc:eee:glofin:v:25:y:2014:i:1:p:56-69
    DOI: 10.1016/j.gfj.2014.03.001
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    Cited by:

    1. Kuttu, Saint, 2017. "Time-varying conditional discrete jumps in emerging African equity markets," Global Finance Journal, Elsevier, vol. 32(C), pages 35-54.
    2. Donou-Adonsou, Ficawoyi, 2019. "Colonialism ties and stock markets: Evidence from Sub-Saharan Africa," Research in International Business and Finance, Elsevier, vol. 47(C), pages 327-343.
    3. Saint Kuttu & Godfred A. Bokpin, 2017. "Feedback Trading and Autocorrelation Patterns in Sub-Saharan African Equity Markets," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 53(1), pages 213-225, January.
    4. Caroline Michere Ndei & Stephen Muchina & Kennedy Waweru, 2019. "Modeling stock market return volatility in the presence of structural breaks: Evidence from Nairobi Securities Exchange, Kenya," International Journal of Research in Business and Social Science (2147-4478), Center for the Strategic Studies in Business and Finance, vol. 8(5), pages 156-171, September.
    5. Kuttu, Saint, 2018. "Modelling long memory in volatility in sub-Saharan African equity markets," Research in International Business and Finance, Elsevier, vol. 44(C), pages 176-185.
    6. Nguyen, Trang & Chaiechi, Taha & Eagle, Lynne & Low, David, 2020. "Dynamic transmissions between main stock markets and SME stock markets: Evidence from tropical economies," The Quarterly Review of Economics and Finance, Elsevier, vol. 75(C), pages 308-324.
    7. Nelson Yunvirusaba & Jane Aduda & Ananda Kube, 2019. "Volatility Spillover Effects among Securities Exchanges in East Africa," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 11(10), pages 32-41, October.
    8. Eric Martial Etoundi Atenga & Mbodja Mougoué, 2021. "Return and volatility spillovers to African equity markets and their determinants," Empirical Economics, Springer, vol. 61(2), pages 883-918, August.

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    More about this item

    Keywords

    Returns; Volatility; Interdependence; Thin trading; Equity;
    All these keywords.

    JEL classification:

    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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