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• W2078687299 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." @default.
• W2078687299 created "2016-06-24" @default.
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• W2078687299 date "2009-03-01" @default.
• W2078687299 modified "2023-10-01" @default.
• W2078687299 title "Modelling stock returns in Africa's emerging equity markets" @default.
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• W2078687299 doi "https://doi.org/10.1016/j.irfa.2009.02.001" @default.
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