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Do Benchmark African Equity Indices Exhibit the Stylized Facts?

Li, Youwie, Hamill, Philip and Opong, Kwaku (2010) Do Benchmark African Equity Indices Exhibit the Stylized Facts? Global Finance Journal, 21 (1). pp. 71-97. [Journal article]

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DOI: 10.1016/j.gfj.2010.03.006


This paper investigates if benchmark African equity indices exhibit the stylized facts reported for financial time-series returns. The returns distributions of the Africa All-Share, Large, Medium and Small Company Indices were found to be leptokurtotic, had fat-tails, over time experienced volatility clustering and exhibited long memory in volatility. Both the All-Share and Large Company Indices were found to exhibit leverage effects. In contrast, positive shocks had a greater impact on future volatility for the Small Company Index which implies a reverse leverage effect. This finding could reflect a bull/bubble market for small capitalisation stocks in Africa.

Item Type:Journal article
Keywords:Africa All-Share Index Stylized facts GARCH Fat-tails Long memory
Faculties and Schools:Ulster Business School > Department of Business and Enterprise
Ulster Business School
Research Institutes and Groups:Business and Management Research Institute
ID Code:9069
Deposited By: Professor Philip Hamill
Deposited On:30 Jan 2012 16:10
Last Modified:30 Jan 2012 16:10

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