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Time-varying conditional discrete jumps in emerging African equity markets

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  • Kuttu, Saint

Abstract

An ARJI-EGARCH model which is a modified version of the Chan and Maheu (2002) methodology is used to examine the time-varying conditional discrete jump dynamics in thinly-traded adjusted equity returns of Egypt, Nigeria and South Africa. The findings suggest that conditional discrete jump is both time-varying and sensitive to past shocks for Egypt and South Africa but not for Nigeria. Conditional discrete jump sensitivity is persistent in all the markets, and only South Africa is more likely to exhibit asymmetric conditional jump volatility. We provide evidence that the presence of thin-trading overstates the economic significance of the conditional discrete jump dynamics.

Suggested Citation

  • Kuttu, Saint, 2017. "Time-varying conditional discrete jumps in emerging African equity markets," Global Finance Journal, Elsevier, vol. 32(C), pages 35-54.
  • Handle: RePEc:eee:glofin:v:32:y:2017:i:c:p:35-54
    DOI: 10.1016/j.gfj.2016.06.004
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    Keywords

    Conditional discrete jump; Poisson process; ARJI-EGARCH; Thin-trading; Emerging equity markets;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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