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Modelling stock returns in southern Africa's equity markets

Modelling stock returns in southern Africa's equity markets
Modelling stock returns in southern Africa's equity markets

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.

0379-6205
41-58
Hearn, B.
45dccea3-9631-4e5e-914c-385896674dc2
Piesse, J.
b85393d2-b4ae-49f2-87cd-8b5007c99e97
Hearn, B.
45dccea3-9631-4e5e-914c-385896674dc2
Piesse, J.
b85393d2-b4ae-49f2-87cd-8b5007c99e97

Hearn, B. and Piesse, J. (2009) Modelling stock returns in southern Africa's equity markets. Journal for Studies in Economics and Econometrics, 33 (1), 41-58.

Record type: Article

Abstract

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.

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Published date: 2009

Identifiers

Local EPrints ID: 423414
URI: http://eprints.soton.ac.uk/id/eprint/423414
ISSN: 0379-6205
PURE UUID: b8c80e44-26a6-46fd-abfb-b3a41c02068c
ORCID for B. Hearn: ORCID iD orcid.org/0000-0001-9767-0198

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Date deposited: 21 Sep 2018 16:30
Last modified: 27 Feb 2024 03:02

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Contributors

Author: B. Hearn ORCID iD
Author: J. Piesse

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