A investigation into share prices' conditional heteroscedasticity and non-symmetrical model in the context of South Africa, Nigeria, and Egypt
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F62156489%3A43110%2F21%3A43920034" target="_blank" >RIV/62156489:43110/21:43920034 - isvavai.cz</a>
Result on the web
<a href="https://doi.org/10.30924/mjcmi.26.1.11" target="_blank" >https://doi.org/10.30924/mjcmi.26.1.11</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.30924/mjcmi.26.1.11" target="_blank" >10.30924/mjcmi.26.1.11</a>
Alternative languages
Result language
angličtina
Original language name
A investigation into share prices' conditional heteroscedasticity and non-symmetrical model in the context of South Africa, Nigeria, and Egypt
Original language description
This paper investigates the leverage effect in African countries by applying normal and non-normal distribution densities. Furthermore, we investigate the possible opportunities for portfolio diversification in South Africa, Nigeria, and Egypt. We find that negative stock returns do not generate higher volatility in further returns than past positive returns. All three countries are subject to the ARCH effect, where past stock information (volatility) influence the current stock returns (volatility). We also find that Gaussian distribution produces a better estimate as compared to non-normal distribution. In terms of portfolio diversification, returns are also subject to the ARCH effect, however, the leverage effect does not determine that past negative returns influence the current stock returns asymmetrically.
Czech name
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Czech description
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Classification
Type
J<sub>SC</sub> - Article in a specialist periodical, which is included in the SCOPUS database
CEP classification
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OECD FORD branch
50206 - Finance
Result continuities
Project
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Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2021
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Management: Journal of Contemporary Management Issues
ISSN
1331-0194
e-ISSN
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Volume of the periodical
26
Issue of the periodical within the volume
1
Country of publishing house
HR - CROATIA
Number of pages
12
Pages from-to
189-200
UT code for WoS article
000668656900011
EID of the result in the Scopus database
2-s2.0-85110436544