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Return predictability in African stock markets

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Cited by:

  1. Mensah, Justice T. & Pomaa-Berko, Maame & Adom, Philip Kofi, 2012. "Does Automation Improve Stock Market Efficiency? Evidence from Ghana," MPRA Paper 43642, University Library of Munich, Germany.
  2. Graham Smith & Aneta Dyakova, 2014. "African Stock Markets: Efficiency and Relative Predictability," South African Journal of Economics, Economic Society of South Africa, vol. 82(2), pages 258-275, June.
  3. Ntim, Collins G, 2012. "Why African Stock Markets Should Formally Harmonise and Integrate their Operations," MPRA Paper 45806, University Library of Munich, Germany.
  4. Alagidede, Paul & Panagiotidis, Theodore, 2009. "Modelling stock returns in Africa's emerging equity markets," International Review of Financial Analysis, Elsevier, vol. 18(1-2), pages 1-11, March.
  5. Kuttu, Saint, 2017. "Time-varying conditional discrete jumps in emerging African equity markets," Global Finance Journal, Elsevier, vol. 32(C), pages 35-54.
  6. Godfrey Marozva & Margaret Rutendo Magwedere, 2017. "Macroeconomic Variables, Leverage, Stock Returns and Stock Return Volatility," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 13(4), pages 264-288, AUGUST.
  7. Sinazo Guduza & Andrew Phiri, 2017. "Efficient market hypothesis: Evidence from the JSE equity and bond markets," Working Papers 1718, Department of Economics, Nelson Mandela University, revised Dec 2017.
  8. Assaf, A., 2006. "Dependence and mean reversion in stock prices: The case of the MENA region," Research in International Business and Finance, Elsevier, vol. 20(3), pages 286-304, September.
  9. N’dri Konan Léon, 2015. "Forecasting Stock Return Volatility: Evidence from the West African Regional Stock Market," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 5(6), pages 1-2.
  10. Kim Hiang Liow & James R. Webb, 2008. "Nonlinear Return Dependence in Major Real Estate Markets," Journal of Property Research, Taylor & Francis Journals, vol. 25(4), pages 285-319, December.
  11. Victor Dragotă & Elena Ţilică, 2014. "Market efficiency of the Post Communist East European stock markets," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 22(2), pages 307-337, June.
  12. Brooks, Robert, 2007. "Power arch modelling of the volatility of emerging equity markets," Emerging Markets Review, Elsevier, vol. 8(2), pages 124-133, May.
  13. Müge Özdemir, 2022. "Analyzing the Efficient Market Hypothesis with the Structural Break and Nonlinear Unit Root Tests: An Application on Borsa Istanbul," EKOIST Journal of Econometrics and Statistics, Istanbul University, Faculty of Economics, vol. 0(37), pages 257-282, December.
  14. Kian-Ping Lim & Muzafar Shah Habibullah & Melvin J. Hinich, 2009. "The Weak-form Efficiency of Chinese Stock Markets," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 8(2), pages 133-163, May.
  15. Alexander Ayertey Odonkor & Emmanuel Nkrumah Ababio & Emmanuel Amoah- Darkwah & Richard Andoh, 2022. "Stock Returns and Long-range Dependence," Global Business Review, International Management Institute, vol. 23(1), pages 37-47, February.
  16. Boamah, Nicholas Addai & Loudon, Geoffrey & Watts, Edward J., 2017. "Structural breaks in the relative importance of country and industry factors in African stock returns," The Quarterly Review of Economics and Finance, Elsevier, vol. 63(C), pages 79-88.
  17. Gyamfi NE & Kyei KA & Gill R, 2016. "African Stock Markets and Return Predictability," Journal of Economics and Behavioral Studies, AMH International, vol. 8(5), pages 91-99.
  18. Assefa, Tibebe A. & Mollick, André Varella, 2014. "African stock market returns and liquidity premia," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 32(C), pages 325-342.
  19. José A. Roldán-Casas & Mª B. García-Moreno García, 2022. "A procedure for testing the hypothesis of weak efficiency in financial markets: a Monte Carlo simulation," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 31(5), pages 1289-1327, December.
  20. Andrew Phiri, 2017. "The Unemployment-Stock Market Relationship in South Africa: Evidence from Symmetric and Asymmetric Cointegration Models," Managing Global Transitions, University of Primorska, Faculty of Management Koper, vol. 15(3 (Fall)), pages 231-254.
  21. 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.
  22. Carl H. Korkpoe & Peterson Owusu Junior, 2018. "Behaviour of Johannesburg Stock Exchange All Share Index Returns - An Asymmetric GARCH and News Impact Effects Approach," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, vol. 68(1), pages 26-42, January-M.
  23. Gerald Kohers & Ninon Kohers & Theodor Kohers, 2006. "The risk and return characteristics of developed and emerging stock markets: the recent evidence," Applied Economics Letters, Taylor & Francis Journals, vol. 13(11), pages 737-743.
  24. Li, Youwei & Hamill, Philip A. & Opong, Kwaku K., 2010. "Do benchmark African equity indices exhibit the stylized facts?," Global Finance Journal, Elsevier, vol. 21(1), pages 71-97.
  25. Adeabah, David & Abakah, Emmanuel Joel Aikins & Tiwari, Aviral Kumar & Hammoudeh, Shawkat, 2023. "How far have we come and where should we go after 30+ years of research on Africa's emerging financial markets? A systematic review and a bibliometric network analysis," Emerging Markets Review, Elsevier, vol. 55(C).
  26. Andrew C. Worthington & Helen Higgs, 2003. "Weak-form market efficiency in European emerging and developed stock markets," School of Economics and Finance Discussion Papers and Working Papers Series 159, School of Economics and Finance, Queensland University of Technology.
  27. Aklilu Gebrehiwot & Mustafa Sayim, 2015. "Financial Market Integration: Empirical Evidence from the COMESA," Business and Economic Research, Macrothink Institute, vol. 5(2), pages 242-255, December.
  28. Assaf, A., 2009. "Extreme observations and risk assessment in the equity markets of MENA region: Tail measures and Value-at-Risk," International Review of Financial Analysis, Elsevier, vol. 18(3), pages 109-116, June.
  29. Gil-Alana, Luis A. & Yaya, OlaOluwa S., 2014. "The relationship between oil prices and the Nigerian stock market. An analysis based on fractional integration and cointegration," Energy Economics, Elsevier, vol. 46(C), pages 328-333.
  30. Boamah, Nicholas Addai & Watts, Edward J. & Loudon, Geoffrey, 2017. "Financial crisis, the real sector and global effects on the African stock markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 65(C), pages 88-96.
  31. McPherson, Matthew Q. & Palardy, Joseph, 2007. "Are international stock returns predictable?: An examination of linear and non-linear predictability using generalized spectral tests," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 17(5), pages 452-464, December.
  32. Subrata Roy, 2018. "Testing Random Walk and Market Efficiency: A Cross-Stock Market Analysis," Foreign Trade Review, , vol. 53(4), pages 225-238, November.
  33. Abul Shamsuddin & Jae H. Kim, 2010. "Short‐Horizon Return Predictability in International Equity Markets," The Financial Review, Eastern Finance Association, vol. 45(2), pages 469-484, May.
  34. Boamah, Nicholas Addai & Watts, Edward & Loudon, Geoffrey, 2017. "Regionally integrated asset pricing on the African stock markets: Evidence from the Fama French and Carhart models," Journal of Economics and Business, Elsevier, vol. 92(C), pages 29-44.
  35. Júlio Lobão, 2018. "Are African Stock Markets Inefficient? New Evidence on Seasonal Anomalies," Scientific Annals of Economics and Business (continues Analele Stiintifice), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 65(3), pages 283-301, September.
  36. Mohd Aminul Islam, 2014. "A Study on the Performance of Symmetric and Asymmetric GARCH Models in Estimating Stock Returns Volatility," International Journal of Empirical Finance, Research Academy of Social Sciences, vol. 2(4), pages 182-192.
  37. 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.
  38. Jean-François Casta & Alioune Badara Mbengue, 2016. "De la pertinence informationnelle des chiffres comptables publiés par les sociétés cotées sur les Bourses d'Afrique de l'Ouest (B.R.V.M et Ghana Stock Exchange)," Post-Print hal-01902539, HAL.
  39. Tarek Ibrahim Eldomiaty & Marwa Anwar & Nebal Magdy & Mohamed Nabil Hakam, 2020. "Robust examination of political structural breaks and abnormal stock returns in Egypt," Future Business Journal, Springer, vol. 6(1), pages 1-9, December.
  40. Juan Benjamín Duarte Duarte & Juan Manuel Mascare?nas Pérez-Iñigo, 2014. "Comprobación de la eficiencia débil en los principales mercados financieros latinoamericanos," Estudios Gerenciales, Universidad Icesi, November.
  41. Olwetu Fusthane & Kapingura F M, 2017. "Weak Form Market Efficiency of the Johannesburg Stock Exchange: Pre, During and Post the 2008 Global Financial Crisis," Journal of Economics and Behavioral Studies, AMH International, vol. 9(5), pages 29-42.
  42. Okotori, Tonprebofa & Ayunku, Peter, 2019. "An empirical investigation on efficient market test for the Nigerian stock exchange (NSE)," MPRA Paper 110516, University Library of Munich, Germany.
  43. H. Kent Baker & Satish Kumar & Debidutta Pattnaik, 2020. "Twenty‐five years of Review of Financial Economics: A bibliometric overview," Review of Financial Economics, John Wiley & Sons, vol. 38(1), pages 3-23, January.
  44. Aneta Dyakova & Graham Smith, 2013. "The evolution of stock market predictability in Bulgaria," Applied Financial Economics, Taylor & Francis Journals, vol. 23(9), pages 805-816, May.
  45. Majumder, Debasish, 2012. "When the market becomes inefficient: Comparing BRIC markets with markets in the USA," International Review of Financial Analysis, Elsevier, vol. 24(C), pages 84-92.
  46. repec:ebl:ecbull:v:7:y:2005:i:1:p:1-6 is not listed on IDEAS
  47. Assaf, Ata, 2015. "Value-at-Risk analysis in the MENA equity markets: Fat tails and conditional asymmetries in return distributions," Journal of Multinational Financial Management, Elsevier, vol. 29(C), pages 30-45.
  48. Kodongo, Odongo & Ojah, Kalu, 2014. "The conditional pricing of currency and inflation risks in Africa's equity markets," MPRA Paper 56100, University Library of Munich, Germany.
  49. Todd Moss and Ross Thuotte, 2013. "Nowhere Left to Hide? Stock Market Correlation, Regional Diversification, and the Case for Investing in Africa," Working Papers 316, Center for Global Development.
  50. Edward A. E. Jones & Anthony K. Kyiu & Hao Li, 2021. "Earnings informativeness and trading frequency: Evidence from African markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 1064-1086, January.
  51. 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.
  52. Alagidede, Paul & Baah-Boateng, William & Nketiah-Amponsah, Edward, 2013. "The Ghanian economy: and Overview," MPRA Paper 109687, University Library of Munich, Germany.
  53. Khan, Walayet & Vieito, João Paulo, 2012. "Stock exchange mergers and weak form of market efficiency: The case of Euronext Lisbon," International Review of Economics & Finance, Elsevier, vol. 22(1), pages 173-189.
  54. Cifter, Atilla, 2012. "Volatility Forecasting with Asymmetric Normal Mixture Garch Model: Evidence from South Africa," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 127-142, June.
  55. Kian-Ping Lim & Melvin J. Hinich, 2005. "Cross-temporal universality of non-linear dependencies in Asian stock markets," Economics Bulletin, AccessEcon, vol. 7(1), pages 1-6.
  56. Alagidede, Paul, 2011. "Return behaviour in Africa's emerging equity markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 51(2), pages 133-140, May.
  57. Kelikume, Ikechukwu & Evans, Olaniyi & Iyoha, Faith, 2020. "Efficient Market Hypothesis in the Presence of Market Imperfections: Evidence from Selected Stock Markets in Africa," MPRA Paper 118200, University Library of Munich, Germany.
  58. Kian-Ping Lim & Robert Brooks, 2009. "Are Chinese stock markets efficient? Further evidence from a battery of nonlinearity tests," Applied Financial Economics, Taylor & Francis Journals, vol. 19(2), pages 147-155.
  59. T Lorde & B Francis & A Greene, 2009. "Testing for Long-Run Comovement, Common Features and Efficiency in Emerging Stock Markets: Evidence from the Caribbean," Economic Issues Journal Articles, Economic Issues, vol. 14(2), pages 55-80, September.
  60. Bai, Man-Ying & Zhu, Hai-Bo, 2010. "Power law and multiscaling properties of the Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(9), pages 1883-1890.
  61. A. Assaf, 2007. "Fractional integration in the equity markets of MENA region," Applied Financial Economics, Taylor & Francis Journals, vol. 17(9), pages 709-723.
  62. James Mark Gbeda & James Atta Peprah, 2018. "Day of the week effect and stock market volatility in Ghana and Nairobi stock exchanges," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 42(4), pages 727-745, October.
  63. Aneta Dyakova & Graham Smith, 2013. "Bulgarian stock market relative predictability: BSE-Sofia stocks and South East European markets," Applied Financial Economics, Taylor & Francis Journals, vol. 23(15), pages 1257-1271, August.
  64. Cong, Ren & Lo, Alex Y., 2017. "Emission trading and carbon market performance in Shenzhen, China," Applied Energy, Elsevier, vol. 193(C), pages 414-425.
  65. Ferreira, Paulo & Dionísio, Andreia & Correia, José, 2018. "Non-linear dependencies in African stock markets: Was subprime crisis an important factor?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 680-687.
  66. Claudeci Da Silva & Hugo Agudelo Murillo & Joaquim Miguel Couto, 2014. "Early Warning Systems: Análise De Ummodelo Probit De Contágio De Crise Dos Estados Unidos Para O Brasil(2000-2010)," Anais do XL Encontro Nacional de Economia [Proceedings of the 40th Brazilian Economics Meeting] 110, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
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