Please use this identifier to cite or link to this item: http://hdl.handle.net/123456789/6714
Title: Return and Volatility Dynamics among Four African Equity Markets: A Multivariate VAR-EGARCH Analysis
Authors: Kuttu, S.
Keywords: Returns
Volatility
Interdependence
Thin trading
Equity
Issue Date: 2014
Abstract: A multivariate VAR-EGARCH is used to examine the returns and volatility dynamics between thin-traded adjusted equity returns from Ghana, Kenya, Nigeria and South Africa. The findings suggest a reciprocal return spillover between Ghana and Kenya, and between Nigeria and South Africa. In addition, Nigeria appears to be the source of volatility innovations in Ghana, Kenya and South Africa. Own market volatility is pronounced, and volatility is highly persistent in all four markets with Ghana, Kenya and South Africa exhibiting volatility asymmetry.
URI: http://hdl.handle.net/123456789/6714
Appears in Collections:Department of Banking and Finance

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