Sammanfattning
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.
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.
| Originalspråk | Engelska |
|---|---|
| Titel på värdpublikation | 19th Annual Conference of the Multinational Finance Society |
| Antal sidor | 33 |
| Utgivningsdatum | 24.06.2012 |
| Status | Publicerad - 24.06.2012 |
| MoE-publikationstyp | A4 Artikel i en konferenspublikation |
| Evenemang | Unknown host publication - Krakow, Polen Varaktighet: 24.06.2012 → 27.06.2012 Konferensnummer: 19th |
Nyckelord
- 511 Nationalekonomi