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...

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Bibliographic details
Volume: 21
Main Author: Li, Youwei
Hamill, Philip A
Opong, Kwaku K
Format: Journal Article
Language: English
Place of publication: Elsevier 2010
published in: Global Finance Journal Vol. 21; no. 1; pp. 71 - 97
ORCID: 0000-0002-2142-7607
Data of publication: 2010
ISSN: 1044-0283
EISSN: 1873-5665
Discipline: Business
Online Access: available in Bonn?
Database: Repository@Hull
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