Time Varying Conditional Discrete Jumps in Emerging African Equity Markets

Saint Kuttu

Forskningsoutput: Kapitel i bok/rapport/konferenshandlingKonferensbidragVetenskapligPeer review

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.
OriginalspråkEngelska
Titel på gästpublikation19th Annual Conference of the Multinational Finance Society
Antal sidor33
Utgivningsdatum24.06.2012
StatusPublicerad - 24.06.2012
MoE-publikationstypA4 Artikel i en konferenspublikation
EvenemangUnknown host publication - Krakow, Polen
Varaktighet: 24.06.201227.06.2012
Konferensnummer: 19th

Nyckelord

  • 511 Nationalekonomi

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