Volume : V, Issue : XII, December - 2015

Study of the risk–return relationship in emerging and less developed african markets

Dr. Woroucoubou Ali Habibou

Abstract :

<p>This article examines the return volatility of daily indices of share prices of eight African stock markets over the period of Feuary 2004 to November 2012. The objective is to ensure that the risk premium as well as some stylized facts do exist in the stock index of emerging and less developed markets in Africa. The study employs both the GARCH–M and EGARCH–M models to check the symmetric and asymmetric impact of the return volatility of stock indexes. The results show that the use of the symmetric GARCH–M model fails to prove the existence of the risk premium in the index returns. On the other side, the application of the asymmetric EGARCH–M model first reveals significant and positive risk premiums for the markets of Kenya, WAEMU (West African Economic and Monetary Union) and Mauritius; and secondly, significant and negative risk premiums for the markets of Egypt, Nigeria and Botswana.</p>

Keywords :

Article: Download PDF   DOI : 10.36106/ijar  

Cite This Article:

Dr. WOROUCOUBOU ALI Habibou Study of the risk-return relationship in emerging and less developed AFRICAN markets Indian Journal of Applied Research, Vol.5, Issue : 12 December 2015

Number of Downloads : 569

References :

<p><p><p><pre></pre></p></p></p>