Journalartikel

Jahr der Veröffentlichung: 2012

Seiten: 161-176

Zeitschrift: International Journal of Economics and Finance

Bandnummer: 4

Heftnummer: 8

DOI Link: https://doi.org/10.5539/ijef.v4n8p161

Verlag: Canadian Center of Science and Education (CCSE)

Abstract: 

Stock market volatility in two African exchanges, Khartoum Stock Exchange, KSE (from Sudan) and Cairo and Alexandria Stock Exchange, CASE (from Egypt) is modelled and estimated. The analysis is based on using daily closing prices on the general indices in the two markets over the period of 2^nd January 2006 to 30^th November 2010. The paper employs different univariate specifications of the Generalized Autoregressive Conditional Heteroscedastic (GARCH) model, including both symmetric and asymmetric models. The empirical results show that the conditional variance (volatility) is an explosive process for the KSE index returns series, while it is quite persistent for the CASE index returns series. The results also provide evidence on the existence of a positive risk premium in both markets, which supports the hypothesis of a positive correlation between volatility and the expected stock returns. Furthermore, the asymmetric GARCH models find a significant evidence for asymmetry in stock returns in the two markets, confirming the presence of leverage effect in the returns series.

Harvard-Zitierstil: Zakaria Suliman Abdalla, S. and Winker, P. (2012) Modelling Stock Market Volatility Using Univariate GARCH Models: Evidence from Sudan and Egypt, International Journal of Economics and Finance, 4(8), pp. 161-176. https://doi.org/10.5539/ijef.v4n8p161

APA-Zitierstil: Zakaria Suliman Abdalla, S., & Winker, P. (2012). Modelling Stock Market Volatility Using Univariate GARCH Models: Evidence from Sudan and Egypt. International Journal of Economics and Finance. 4(8), 161-176. https://doi.org/10.5539/ijef.v4n8p161