Long-memory in asset returns and volatility: evidence from West Africa
| Autor: | Emmanuel Numapau Gyamfi, Kwabena A. Kyei, Ryan Gill |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2016 |
| Předmět: | |
| Zdroj: | Investment Management & Financial Innovations, Vol 13, Iss 2, Pp 24-28 (2016) |
| Druh dokumentu: | article |
| ISSN: | 1810-4967 1812-9358 |
| DOI: | 10.21511/imfi.13(2).2016.03 |
| Popis: | This paper measures the degree of long-memory or long-range dependence in asset returns and volatility of two stock indices in Ghana and Nigeria. The presence of long-memory opens up opportunities for abnormal returns to be made by analyzing price history of a particular market. The authors employ the Hurst exponent to measure the degree of long-memory which is evaluated by a semiparametric method, the Local Whittle estimator. The findings show strong evidence of the presence of long-memory in both returns and volatility of the indices studied, suggesting that neither of the markets in Ghana and Nigeria is weak-form efficient |
| Databáze: | Directory of Open Access Journals |
| Externí odkaz: |
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