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Do benchmark African equity indices exhibit the stylized facts?

Author

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  • Li, Youwei
  • Hamill, Philip A.
  • Opong, Kwaku K.
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.

Suggested Citation

  • Li, Youwei & Hamill, Philip A. & Opong, Kwaku K., 2010. "Do benchmark African equity indices exhibit the stylized facts?," Global Finance Journal, Elsevier, vol. 21(1), pages 71-97.
    • Handle: RePEc:eee:glofin:v:21:y:2010:i:1:p:71-97
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    References listed on IDEAS

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    1. Peter Loos & Peter Fettke & Barbara Weißenberger & Stephan Zelewski & Armin Heinzl & Ulrich Frank & Juhani Iivari, 2011. "What in Fact Is the Role of Stylized Facts in Fundamental Research of Business and Information Systems Engineering?," Business & Information Systems Engineering: The International Journal of WIRTSCHAFTSINFORMATIK, Springer;Gesellschaft für Informatik e.V. (GI), vol. 3(2), pages 107-125, April.

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