Download or read book Return Predictability in African Stock Markets written by Joe Appiah-Kusi and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper models weekly index returns adjusted for thin trading as a nonlinear autoregressive process with conditional heteroscedasticity to investigate the weak-form pricing efficiency of 11 African stock markets. Specifically, the use of the EGARCH-M model allows us to capture how conditional volatility affects the pricing process without imposing undue restrictions on the parameters of the conditional variance equation. On the basis of such a robust model, we are able to reject the evidence in prior studies that the Nigerian stock market is weak-form efficient. On the other hand, we confirm extant results that the markets in Egypt, Kenya and Zimbabwe are efficient while that of South Africa is not weak-form efficient. We also generate new results, which point to the efficiency of the stock markets in Mauritius and Morocco, while the markets in Botswana, Ghana, Ivory Coast, and Swaziland are not consistent with weak-form efficiency.

Download or read book Return Predictability Investigations on Four Southern African Stock Markets with Particular Emphasis on the Botswana Stock Exchange written by Tebogo Trevor Kingsley Matome and published by . This book was released on 1997 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Adaptive Market Hypothesis and Predictability of Stock Returns in Africa written by Axola Victor Chumani Myendeki and published by . This book was released on 2018 with total page 106 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Efficient Market Hypothesis in Africa s Sub Saharan Stock Markets written by Sebastian Groh and published by GRIN Verlag. This book was released on 2009-10-03 with total page 69 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bachelor Thesis from the year 2009 in the subject Economics - Case Scenarios, grade: 1,3, University of Mannheim (Lehrstuhl für Volkswirtschaftslehre, insbes. Ökonometrie), course: Bachelorarbeit, language: English, abstract: In recent years foreign aid was often conditioned on good institutions. Due to this course the development of financial institutions has been considered vital for the development process. This thesis points in its theoretical part to the positive effects of efficient stock markets on economic growth and examines empirically the efficiency of Africa's sub-Saharan stock markets. Results are then compared with the same tests on four emerging markets in Asia and as a benchmark on S&P 500 and DAX. It discusses further the relationship between market efficiency and financial crisis and comes to the conclusion that a crisis worsens the respective efficiency level. Nevertheless, all African markets are at least able to pass the critical lowest hurdle of market efficiency. However, conclusions from the research propose, that the Asian markets perform better than the African markets, although the study comes to some inconclusive results. Limits to the efficient market hypothesis itself and its empirical analysis are shown throughout the paper. The study suggests that former reforms need to be intensified in order to avoid a further increase in overall income inequalities.

Download or read book Efficient Market Hypothesis in Africa s Sub Saharan Stock Markets written by Sebastian Groh and published by GRIN Verlag. This book was released on 2009-10-02 with total page 63 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bachelor Thesis from the year 2009 in the subject Economics - Case Scenarios, grade: 1,3, University of Mannheim (Lehrstuhl für Volkswirtschaftslehre, insbes. Ökonometrie), course: Bachelorarbeit, language: English, abstract: In recent years foreign aid was often conditioned on good institutions. Due to this course the development of financial institutions has been considered vital for the development process. This thesis points in its theoretical part to the positive effects of efficient stock markets on economic growth and examines empirically the efficiency of Africa’s sub-Saharan stock markets. Results are then compared with the same tests on four emerging markets in Asia and as a benchmark on S&P 500 and DAX. It discusses further the relationship between market efficiency and financial crisis and comes to the conclusion that a crisis worsens the respective efficiency level. Nevertheless, all African markets are at least able to pass the critical lowest hurdle of market efficiency. However, conclusions from the research propose, that the Asian markets perform better than the African markets, although the study comes to some inconclusive results. Limits to the efficient market hypothesis itself and its empirical analysis are shown throughout the paper. The study suggests that former reforms need to be intensified in order to avoid a further increase in overall income inequalities.

Download or read book Return Dynamics in Africa s Emerging Stock Markets written by Paul Alagidede and published by Nova Science Pub Incorporated. This book was released on 2011 with total page 152 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stock markets play an increasingly important part in economic life. This is true for the public at large, of corporations, of hedge funds, of regulatory authorities, of treasury chiefs and, of course of students and academics who take keen interest in analysing the behaviour of stock prices. Stock price movements are nowadays part of the background of all our lives. Although not a perfect indicator, stock markets tend to predict recessions as they fluctuate with economic activity. Over the past three decades developing countries have expanded stock markets owing to the obvious benefits that they deliver. In Africa, the number of stock markets increased from only six before 1989 to 21 by 2004, and currently 24. This book examines the underlying dynamics of stock price behaviour of Africa's most developed markets.

Download or read book Stock Market Development in Sub Saharan Africa written by Charles Amo Yartey and published by International Monetary Fund. This book was released on 2007-08 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the economic importance of stock markets in Africa. It discusses policy options for promoting the development of the stock market in Africa. The results of the paper show that the stock markets have contributed to the financing of the growth of large corporations in certain African countries. An econometric investigation of the impact of stock markets on growth in selected African countries, however, finds inconclusive evidence even though stock market value traded seem to be positively and significantly associated with growth. African stock exchanges now face the challenge of integration and need better technical and institutional development to address the problem of low liquidity. Preconditions for successful regional approaches include the harmonization of legislations such as bankruptcy and accounting laws and a liberalized trade regime. Robust electronic trading systems and central depository systems will be important. Further domestic financial liberalization such as steps to improve the legal and accounting framework, private sector credit evaluation capabilities, and public sector regulatory oversight would also be beneficial.

Download or read book Non linear Dynamics and Stock Return Predictability on the JSE Securities Exchange of South Africa written by Ronald Dadi Mangani and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Determinants Spillovers and Predictability of the South African Stock Returns written by Mampho Modise and published by . This book was released on 2013 with total page 244 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Small African Stock Markets The Case of the Lusaka Stock Exchange written by Heloisa Marone and published by International Monetary Fund. This book was released on 2003 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: In trend with a global pattern and following recommendations of the World Bank and the International Finance Corporation (IFC), the number of stock markets in African countries has increased dramatically over the last ten years. Despite a scarcity of studies on the impact of stock markets on these economies, some policymakers have been arguing in favor of stock exchanges (national or regional) in eastern and southern Africa. The creation of such exchanges may be a premature project as they might lack an actual economic rationale. The present case study, for instance, suggests that the Lusaka Stock Exchange (LuSE) has little effect on the larger Zambian economy.

Download or read book The Dynamics of Emerging Stock Markets written by Abdelmoneim Youssef and published by LAP Lambert Academic Publishing. This book was released on 2012 with total page 208 pages. Available in PDF, EPUB and Kindle. Book excerpt: This contest comprises a selection of topics that focus on African stock market performance. The main factor in this analysis is to examine the dynamic behavior of stock returns in a number of emerging stock markets from Asia and Africa, the efficiency in pricing securities as well as the relation between exchange rate and dynamics of equity returns. The purpose of this study is to contribute to the debate by examining some issues concerning the efficiency of market and the relation between exchange rate and equity returns. These issues have not been examined so far for both Asian and African stock markets together, so this paper attempts to fill that gap by addressing the following objectives, which are (1) to examine the Random Walk Hypothesis (RWH) for stock prices in Asian and African emerging Markets, (2) to determine whether exchange rates affect tests of equity returns in emerging markets, and (3)to investigate whether large capitalization stocks follow a random walk .The main significance of our study of these objectives is the use of the latest test methodologies in analyzing an investment area that is growing in the emerging stock markets.

Download or read book Essays in Long Memory written by Pako Thupayagale and published by . This book was released on 2010 with total page 482 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book An Econometric Analysis of African Stock Market written by Chiaku Nwamu Chukwuogor and published by . This book was released on 2010 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the presence of day-of-the-week effect, returns volatility and analyzes the annual returns of five African stock markets. A set of parametric and non-parametric tests is used to test equality of mean returns and standard deviations of the returns across the-days-of-the-week. To supplement this analysis, graphical representation of the indexes annual percentage changes was explored and their correlation determined. The results contradict the presence of the-day-of-the- week but indicate insignificant daily returns volatility in most of these Markets. The stock exchanges experienced enormous growth between 1997 and 2004. There was a high positive correlation of market gains and declines among the markets.

Download or read book Small African Stock Markets written by Heloisa Cortella Marone and published by . This book was released on 2006 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: In trend with a global pattern and following recommendations of the World Bank and the International Finance Corporation (IFC), the number of stock markets in African countries has increased dramatically over the last ten years. Despite a scarcity of studies on the impact of stock markets on these economies, some policymakers have been arguing in favor of stock exchanges (national or regional) in eastern and southern Africa. The creation of such exchanges may be a premature project as they might lack an actual economic rationale. The present case study, for instance, suggests that the Lusaka Stock Exchange (LuSE) has little effect on the larger Zambian economy.

Download or read book Predicting Global Stock Returns written by Erik Hjalmarsson and published by . This book was released on 2008 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: I test for stock return predictability in the largest and most comprehensive data set analyzed so far, using four common forecasting variables: the dividend- and earnings-price ratios, the short interest rate, and the term spread. The data contain over 20,000 monthly observations from 40 international markets, including 24 developed and 16 emerging economies. In addition, I develop new methods for predictive regressions with panel data. Inference based on the standard fixed effects estimator is shown to suffer from severe size distortions in the typical stock return regression, and an alternative robust estimator is proposed. The empirical results indicate that the short interest rate and the term spread are fairly robust predictors of stock returns in developed markets. In contrast, no strong or consistent evidence of predictability is found when considering the earnings- and dividend-price ratios as predictors.

Download or read book Stock Markets and Development in Africa written by JULETTE. SULIY BUNYUY and published by . This book was released on 2020-05 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Globalization is posing enormous challenges to development efforts in many African countries. One of the most daunting challenges is to raise capital to meet financial needs. Despite regional tendencies, the effectiveness of stock markets to raise capital within the African region has been limited. This book asks whether African stock exchange might become more effective in enhancing development. It adopts a legal approach in analyzing various laws and texts. Stock Markets and Development begins with discussions of global experiences in both developed and developing countries. It then examines the legal frameworks of regional organizations, in which stock markets are catalysts of integration and development. Arguably, stock markets can serve as gateways to development within this zone through harmonization of laws and common public issue of shares. The effective operation of stock markets within Africa, however, is bedeviled by many legal and extra-legal challenges. In line with the globalization tendencies and mindful of lessons from advanced countries, the book recommends that institutional organizations should be used as facilitators to the integration of stock exchange markets. The ideal would be to create an environment conducive to the creation of a Pan-African stock exchange that is globally competitive and capable of enhancing development.

Download or read book Evidence of Return Predictability on the Johannesburg Stock Exchange written by Ryan Kruger and published by . This book was released on 2011 with total page 434 pages. Available in PDF, EPUB and Kindle. Book excerpt: