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Modelling stock returns in Africa's emerging equity markets

Listed author(s):
  • Alagidede, Paul
  • Panagiotidis, Theodore

We investigate the behaviour of stock returns in Africa's largest markets namely, Egypt, Kenya, Morocco, Nigeria, South Africa, Tunisia and Zimbabwe. The validity of the random walk hypothesis is examined and rejected by employing a battery of tests. Secondly we employ smooth transition and conditional volatility models to uncover the dynamics of the first two moments and examine weak from efficiency. The empirical stylized facts of volatility clustering, leptokurtosis and leverage effect are present in the African data.

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File URL: http://hdl.handle.net/1893/715
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Paper provided by University of Stirling, Division of Economics in its series Stirling Economics Discussion Papers with number 2009-04.

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Date of creation: 28 Jan 2009
Handle: RePEc:stl:stledp:2009-04
Contact details of provider: Postal:
Division of Economics, University of Stirling, Stirling, Scotland FK9 4LA

Phone: +44 (0)1786 467473
Fax: +44 (0)1786 467469
Web page: http://www.econ.stir.ac.uk/

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