IDEAS home Printed from https://ideas.repec.org/a/ekn/ekonom/v2y1998i2p171-185.html
   My bibliography  Save this article

Volatility and Volatility Spill-overs in Emerging Markets: The case of the African Stock Markets

Author

Listed:
  • Joe Appiah-Kusi

    (Centre for Empirical Research in Finance, Department of Economics and Finance, Durham University, UK)

  • Gioia M Pescetto

    (Centre for Empirical Research in Finance, Department of Economics and Finance, Durham University, UK)

Abstract

In 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.

Suggested Citation

  • Joe Appiah-Kusi & Gioia M Pescetto, 1998. "Volatility and Volatility Spill-overs in Emerging Markets: The case of the African Stock Markets," Ekonomia, Cyprus Economic Society and University of Cyprus, vol. 2(2), pages 171-185, Winter.
  • Handle: RePEc:ekn:ekonom:v:2:y:1998:i:2:p:171-185
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. M. Karanasos & J. Kim, 2003. "Moments of the ARMA--EGARCH model," Econometrics Journal, Royal Economic Society, vol. 6(1), pages 146-166, June.
    2. Eymen Errais & Dhikra Bahri, 2016. "Is Standard Deviation a Good Measure of Volatility? the Case of African Markets with Price Limits," Annals of Economics and Finance, Society for AEF, vol. 17(1), pages 145-165, May.

    More about this item

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ekn:ekonom:v:2:y:1998:i:2:p:171-185. 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: (Managing Editor). General contact details of provider: http://edirc.repec.org/data/cyessea.html .

    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.

    We have no references for this item. You can help adding them by using 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 RePEc Author Service 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.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.