A investigation into share prices' conditional heteroscedasticity and non-symmetrical model in the context of South Africa, Nigeria, and Egypt

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

A investigation into share prices' conditional heteroscedasticity and non-symmetrical model in the context of South Africa, Nigeria, and Egypt

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

A investigation into share prices' conditional heteroscedasticity and non-symmetrical model in the context of South Africa, Nigeria, and Egypt

Popis výsledku anglicky

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.

Druh

J_SC - Článek v periodiku v databázi SCOPUS

CEP obor

—

OECD FORD obor

50206 - Finance

Projekt

—

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2021

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Management: Journal of Contemporary Management Issues

ISSN

1331-0194

e-ISSN

—

Svazek periodika

26

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

HR - Chorvatská republika

Počet stran výsledku

12

Strana od-do

189-200

Kód UT WoS článku

000668656900011

EID výsledku v databázi Scopus

2-s2.0-85110436544