Do benchmark African equity indices exhibit the stylized facts?
(2010)
Journal Article
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
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 leptokurtot... Read More about Do benchmark African equity indices exhibit the stylized facts?.