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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 Piesse
This 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.

History

Publication status

  • Published

File Version

  • Published version

Journal

Studies in Economics and Econometrics

ISSN

0379-6205

Publisher

SaE Publications South Africa

Issue

1

Volume

33

Page range

41-58

Department affiliated with

  • Business and Management Publications

Full text available

  • No

Peer reviewed?

  • Yes

Legacy Posted Date

2012-04-24

First Compliant Deposit (FCD) Date

2012-02-24

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