Time Varying Conditional Discrete Jumps in Emerging African Equity Markets

Saint Kuttu

Research output: Chapter in Book/Report/Conference proceedingConference contributionScientificpeer-review


An ARJI-GARCH model of Chan and Maheu (2002) is used to examine the time varying conditional
jumps dynamics for thinly traded adjusted equity returns of Egypt, Nigeria and South Africa. The
findings suggest that conditional jumps are time varying, and jumps are sensitive to past shocks for
Egypt and South Africa but not for Nigeria. Jumps sensitivity is persistent in all the markets, and only
South Africa is more likely to exhibit asymmetric jump volatility. We provide evidence that the
presence of thin trading leads to spurious estimates, and in some cases, it understates the economic
significance of the jumps dynamics.
Original languageEnglish
Title of host publication19th Annual Conference of the Multinational Finance Society
Number of pages33
Publication date24.06.2012
Publication statusPublished - 24.06.2012
MoE publication typeA4 Article in conference proceedings
EventUnknown host publication - Krakow, Poland
Duration: 24.06.201227.06.2012
Conference number: 19th


  • 511 Economics
  • C22
  • G15


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