Do Benchmark African Equity Indices Exhibit the Stylized Facts?

Posted: 28 May 2010

See all articles by Youwei Li

Youwei Li

Hull University Business School

Philip Hamill

Ulster Business School

Kwaku K. Opong

University of Glasgow - Adam Smith Business School

Date Written: May 27, 2010

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.

Keywords: Africa All-Share Index, Stylized facts, GARCH, Fat-tails, Long memory

JEL Classification: G14, G15, O16

Suggested Citation

Li, Youwei and Hamill, Philip Anthony and Opong, Kwaku K., Do Benchmark African Equity Indices Exhibit the Stylized Facts? (May 27, 2010). Global Finance Journal, Vol. 21, No. 1, 2010, Available at SSRN: https://ssrn.com/abstract=1616506

Youwei Li (Contact Author)

Hull University Business School ( email )

University of Hull
Hull, HU6 7RX
United Kingdom

Philip Anthony Hamill

Ulster Business School ( email )

Cromore Road
Coleraine
Co. Derry BT52 1SA, BT51 1SA
Ireland

Kwaku K. Opong

University of Glasgow - Adam Smith Business School ( email )

University Avenue
Gilbert Scott Building
Glasgow, Scotland G12 8QQ
United Kingdom

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