Modelling stock returns in Africa's emerging equity markets Alagidede, Paul; Panagiotidis, Theodore

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Alagidede, Paul ; Panagiotidis, Theodore
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International Review of Financial Analysis
Stocks -- Models; Models
To link to full-text access for this article, visit this link: Byline: Paul Alagidede (a), Theodore Panagiotidis (b) Keywords: Stock returns; Weak form efficiency; Asymmetric volatility; African stock markets Abstract: 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. Author Affiliation: (a) Department of Economics, University of Stirling, Stirling, FK9 4LA, UK (b) Department of Economics, University of Macedonia, 540 06 Thessaloniki, Greece Article History: Received 28 October 2008; Revised 15 January 2009; Accepted 4 February 2009
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