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Modelling Stock Returns in Southern Africa's Equity Markets
journal contribution
posted on 2023-06-08, 11:01 authored by Bruce Hearn, Jenifer PiesseThis paper contrasts the forecasting performance of three time series models for three very small frontier equity markets and one merging market in Africa. In the light of proposed regional equity market integration this study reveals potential benefits from diversification to South African investors from Namibia while Swaziland and Mozambique markets remain segmented. The evidence suggests that the CAPM with GARCH representation of errors outperforms the standard GARCH in capturing information. It also sheds light on the higher transactions costs faced by rational investors in Swaziland and Mozambique through the substantially higher conditional variance present in these markets.
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Publication status
- Published
File Version
- Published version
Journal
Studies in Economics and EconometricsISSN
0379-6205Publisher
SaE Publications South AfricaIssue
1Volume
33Page range
41-58Department affiliated with
- Business and Management Publications
Full text available
- No
Peer reviewed?
- Yes
Legacy Posted Date
2012-04-24First Compliant Deposit (FCD) Date
2012-02-24Usage metrics
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