Do benchmark African equity indices exhibit the stylized facts?

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 volatilit...

Full description

Saved in:
Bibliographic details
Volume: 21
Main Author: Li, Youwei
Hamill, Philip A
Opong, Kwaku K
Format: Journal Article
Language: English
Place of publication: Greenwich Elsevier Inc 2010
Elsevier
Elsevier Science Ltd
published in: Global finance journal Vol. 21; no. 1; pp. 71 - 97
Data of publication: 2010
ISSN: 1044-0283
1873-5665
EISSN: 1873-5665
Discipline: Business
Series: Global Finance Journal
Subjects:
O16
G15
G14
Online Access: available in Bonn?
Database: RePEc IDEAS
RePEc
CrossRef
ProQuest One Business
ProQuest One Business (Alumni)
Database information Databases - DBIS