To link to full-text access for this article, visit this link:
Byline: Paul Alagidede (a), Theodore Panagiotidis (b)
Stock returns; Weak form efficiency; Asymmetric volatility; African
We investigate the behaviour of stock returns in Africa's
largest markets namely, Egypt, Kenya, Morocco, Nigeria, South Africa,
Tunisia and Zimbabwe. The validity of the random walk hypothesis is
examined and rejected by employing a battery of tests. Secondly we
employ smooth transition and conditional volatility models to uncover
the dynamics of the first two moments and examine weak form efficiency.
The empirical stylized facts of volatility clustering, leptokurtosis and
leverage effect are present in the African data.
(a) Department of Economics, University of Stirling, Stirling, FK9
(b) Department of Economics, University of Macedonia, 540 06
Received 28 October 2008; Revised 15 January 2009; Accepted 4