IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!) to save this article

Return behaviour in Africa's emerging equity markets

  • Alagidede, Paul

This paper provides evidence on return predictability in Africa's emerging equity markets. We concentrate our analysis on the behaviour of the first and second moments of return behaviour, risk return trade off and mean reversion. In a novel contribution to the stock return literature, we establish that individual time varying returns are predictable. Moreover, we find that empirical stylized facts such as volatility clustering, leptokurtosis and leverage effect are present in the African data. Using fractional integration techniques, we find that all African markets in our sample display evidence of long memory: an important indication of less than perfect arbitrage.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.sciencedirect.com/science/article/pii/S1062976911000056
Download Restriction: Full text for ScienceDirect subscribers only

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Article provided by Elsevier in its journal The Quarterly Review of Economics and Finance.

Volume (Year): 51 (2011)
Issue (Month): 2 (May)
Pages: 133-140

as
in new window

Handle: RePEc:eee:quaeco:v:51:y:2011:i:2:p:133-140
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620167

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

as in new window
  1. Eugene F Fama, . "Market Efficiency, Long-Term Returns, and Behavioral Finance," CRSP working papers 448, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
  2. LeRoy, Stephen F, 1989. "Efficient Capital Markets and Martingales," Journal of Economic Literature, American Economic Association, vol. 27(4), pages 1583-1621, December.
  3. Hsieh, David A, 1991. " Chaos and Nonlinear Dynamics: Application to Financial Markets," Journal of Finance, American Finance Association, vol. 46(5), pages 1839-77, December.
  4. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
  5. Gili Yen & Cheng-few Lee, 2008. "Efficient Market Hypothesis (EMH): Past, Present and Future," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 11(02), pages 305-329.
  6. Brooks, R & Davidson, S & Faff, R, 1997. "An Examination of the Effects of Major Political Change on Stock Market Volatility : The South African Experience," Papers 97-4, Melbourne - Centre in Finance.
  7. Baillie, Richard T. & Bollerslev, Tim & Mikkelsen, Hans Ole, 1996. "Fractionally integrated generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 74(1), pages 3-30, September.
  8. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
  9. Lee, Tae-Hwy & White, Halbert & Granger, Clive W. J., 1993. "Testing for neglected nonlinearity in time series models : A comparison of neural network methods and alternative tests," Journal of Econometrics, Elsevier, vol. 56(3), pages 269-290, April.
  10. Bekaert, Geert & Harvey, Campbell & Lundblad, Christian T, 2006. "Liquidity and Expected Returns: Lessons from Emerging Markets," CEPR Discussion Papers 5946, C.E.P.R. Discussion Papers.
  11. Appiah-Kusi, Joe & Menyah, Kojo, 2003. "Return predictability in African stock markets," Review of Financial Economics, Elsevier, vol. 12(3), pages 247-270.
  12. Schwert, G. William, 2003. "Anomalies and market efficiency," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 15, pages 939-974 Elsevier.
  13. M. Magnusson & B. Wydick, 2002. "How Efficient are Africa's Emerging Stock Markets?," Journal of Development Studies, Taylor & Francis Journals, vol. 38(4), pages 141-156.
  14. French, Kenneth R. & Schwert, G. William & Stambaugh, Robert F., 1987. "Expected stock returns and volatility," Journal of Financial Economics, Elsevier, vol. 19(1), pages 3-29, September.
  15. Olan Henry, 2002. "Long memory in stock returns: some international evidence," Applied Financial Economics, Taylor & Francis Journals, vol. 12(10), pages 725-729.
  16. Fama, Eugene F, 1991. " Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-617, December.
  17. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-70, March.
  18. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
  19. Benoit Mandelbrot, 1963. "The Variation of Certain Speculative Prices," The Journal of Business, University of Chicago Press, vol. 36, pages 394.
  20. repec:cdl:ucsbec:13-89 is not listed on IDEAS
  21. Omran, M.F., 2007. "An analysis of the capital asset pricing model in the Egyptian stock market," The Quarterly Review of Economics and Finance, Elsevier, vol. 46(5), pages 801-812, February.
  22. Burton G. Malkiel, 2003. "The Efficient Market Hypothesis and Its Critics," Journal of Economic Perspectives, American Economic Association, vol. 17(1), pages 59-82, Winter.
  23. Jacqueline Irving, 2005. "Regional Integration of Stock Exchanges in Eastern and Southern Africa; Progress and Prospects," IMF Working Papers 05/122, International Monetary Fund.
  24. Harvey, Campbell R, 1995. "Predictable Risk and Returns in Emerging Markets," Review of Financial Studies, Society for Financial Studies, vol. 8(3), pages 773-816.
  25. Geert Bekaert & Guojun Wu, 1997. "Asymmetric Volatility and Risk in Equity Markets," NBER Working Papers 6022, National Bureau of Economic Research, Inc.
  26. Mauro Mecagni & Maged Sawky Sourial, 1999. "The Egyptian Stock Market; Efficiency Tests and Volatility Effects," IMF Working Papers 99/48, International Monetary Fund.
  27. Keith Jefferis & Graham Smith, 2005. "The Changing Efficiency Of African Stock Markets," South African Journal of Economics, Economic Society of South Africa, vol. 73(1), pages 54-67, 03.
  28. Cho, Yoon Je, 1986. "Inefficiencies from Financial Liberalization in the Absence of Well-Functioning Equity Markets," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 18(2), pages 191-99, May.
  29. Lucas, Robert E, Jr, 1978. "Asset Prices in an Exchange Economy," Econometrica, Econometric Society, vol. 46(6), pages 1429-45, November.
  30. Paul Alagidede, 2009. "Are African Stock Markets Integrated with the Rest of the World?," The African Finance Journal, Africagrowth Institute, vol. 11(1), pages 37-53.
  31. Mills, Terence C, 1997. "Technical Analysis and the London Stock Exchange: Testing Trading Rules Using the FT30," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 2(4), pages 319-31, October.
Full references (including those not matched with items on IDEAS)

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:eee:quaeco:v:51:y:2011:i:2:p:133-140. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.