Li, Y., Hamill, P.A. and Opong, K.K. (2010) Do benchmark African equity indices exhibit the stylized facts? Global Finance Journal, 21(1), pp. 71-97. (doi: 10.1016/j.gfj.2010.03.006)
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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.
| Item Type: | Articles |
|---|---|
| Status: | Published |
| Refereed: | Yes |
| Glasgow Author(s) Enlighten ID: | Opong, Professor Kwaku |
| Authors: | Li, Y., Hamill, P.A., and Opong, K.K. |
| Subjects: | H Social Sciences > HG Finance |
| College/School: | College of Social Sciences > Adam Smith Business School > Accounting and Finance |
| Journal Name: | Global Finance Journal |
| ISSN: | 1044-0283 |
| ISSN (Online): | 1873-5665 |
| Published Online: | 29 March 2010 |
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