Modelling stock return volatility: Comparative evidence from selected emerging African and Western developed markets

Coffie, W. and Chukwulobelu, O. (2014) Modelling stock return volatility: Comparative evidence from selected emerging African and Western developed markets. International Journal of Management Practice, 7 (4). pp. 366-379. ISSN 14779064 (ISSN)

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Abstract

This paper investigates volatility persistence by comparing evidence from selected emerging African and Western developed markets, taking into account the rate of volatility decay. Generalised Autoregressive Conditional Heteroscedasticity (GARCH) and GARCH-in-mean (GARCH-M) models are used to estimate volatility persistence and risk premium for these markets. The results presented here suggest that there is volatility persistence in the four emerging African markets and the five developed markets. The study concludes that volatility risk exists in these markets and investors would require compensation for bearing this type of risk. Copyright © 2014 Inderscience Enterprises Ltd.

Item Type: Article
Uncontrolled Keywords: African stock markets, Developed markets, GARCH, GARCH-M, Return volatility
Subjects: L100 Economics
Divisions: UoA Collections > UoA19: Business and Management Studies
Faculty of Business, Law and Social Sciences > Birmingham City Business School > Dept. Accountancy and Finance
Depositing User: Yasser Nawaz
Date Deposited: 23 Nov 2016 15:01
Last Modified: 23 Nov 2016 15:01
URI: http://www.open-access.bcu.ac.uk/id/eprint/1952

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