Do benchmark African equity indices exhibit the stylized facts?

Li, Youwei; Hamill, Philip A.; Opong, Kwaku K.

Abstract

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.

Citation

Li, Y., Hamill, P. A., & Opong, K. K. (2010). Do benchmark African equity indices exhibit the stylized facts?. Global finance journal, 21(1), 71-97. https://doi.org/10.1016/j.gfj.2010.03.006

• Journal Article Type: Article
• Acceptance Date: Oct 26, 2009
• Online Publication Date: Mar 29, 2010
• Publication Date: 2010
• Deposit Date: Mar 19, 2019
• Journal: Global Finance Journal
• Print ISSN: 1044-0283
• Publisher: Elsevier
• Peer Reviewed: Peer Reviewed
• Volume: 21
• Issue: 1
• Pages: 71-97
• DOI: https://doi.org/10.1016/j.gfj.2010.03.006
• Keywords: Africa All-Share Index; Stylized facts; GARCH; Fat-tails; Long memory
• Public URL: https://hull-repository.worktribe.com/output/1113537
• Publisher URL: https://www.sciencedirect.com/science/article/pii/S1044028310000074?via%3Dihub