Asymmetric mean reversion and volatility in African real exchange rates

Kuttu, Saint

doi:10.1007/s12197-017-9412-z

Cited by 4 publications

(6 citation statements)

References 49 publications

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“…The results of the studies indicated that the Jordan, Turkey, Egypt and Morroco markets have shown a rapid mean reversion process that also exhibits the stocks' volatility of these market. Similarly, Kuttu (2017) suggested that the existence of mean reversion process explains the different behaviours of the stock market. Ribeiro et al (2017), Ahmad et al (2016), and Kim, Morley, and Nelson (2001) also studied the behaviours of stocks and volatility, and they have also concluded the direct relationship between stock returns and the volatility.…”

Section: Mean Reversion In Stock Pricesmentioning

confidence: 98%

“…On the basis of the above discussion and previous literature, it is evident that there is still an ongoing debate regarding the equity behaviour as to whether returns follow the mean reversion process or the random walk hypothesis. A few researchers have additionally concluded that the mean reversion process varies market-to-market and region-to-region, and the time factor is also a vital determinant while investigating the mean reversion phenomenon (Kuttu, 2017;Slim et al, 2017).…”

Section: Mean Reversion In Stock Pricesmentioning

confidence: 99%

“…(1,1) models (Gulay & Emec, 2017;Zakamulin, 2016). For the estimation of the speed of mean reversion and volatility shocks, we have used a half-life model (Chaudhuri & Wu, 2003;Goudarzi, 2013;Kuttu, 2017;Mohammadi, 2017).…”

Section: Estimation Techniquesmentioning

confidence: 99%

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Mean reversion in international markets: evidence from G.A.R.C.H. and half-life volatility models

Ahmed

Vveinhardt

Štreimikienė

et al. 2018

Economic Research-Ekonomska Istraživanja

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The objective of this research is to examine and compare the mean reversion phenomenon in developed and emerging stock markets. An important aim is to measure and compare the speed of mean reversion and half-life of volatility shocks of emerging and developed markets. For this purpose, we have selected five developed and seven emerging markets, and used daily market indices for the period of 1 January 2000 to 30 June 2016. We employed autoregressive conditional heteroskedasticity -Lagrange multiplier (A.R.C.H.-L.M.), generalised autoregressive conditional heteroskedasticity (G.A.R.C.H.) (1, 1), and half-life volatility shock techniques to carry out this research. The results of the study confirmed the mean-reverting process in developed and emerging markets. The South Korean market has the slowest mean reversion, and thus has the highest comparative volatility over a longer period of time. However, the Pakistan stock exchange exhibited the fastest mean reverting process. It is also concluded that the relative volatilities are higher in emerging markets, whereas the comparative volatilities are higher in developed markets. Therefore, it is further concluded that the mean reversion process is much faster in emerging indices except the South Korean and Chinese markets. The study recommends that if investors want higher returns in a shorter period of time then they should invest in emerging markets.

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Section: Mean Reversion In Stock Pricesmentioning

confidence: 98%

Section: Mean Reversion In Stock Pricesmentioning

confidence: 99%

See 1 more Smart Citation

Mean reversion in international markets: evidence from G.A.R.C.H. and half-life volatility models

Ahmed

Vveinhardt

Štreimikienė

et al. 2018

Economic Research-Ekonomska Istraživanja

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“…We use EGARCH(1,1) since with (1,1) as lags, it is possible to give an accurate description of the conditional variance (Engle 2001). This specification has been widely used in the literature to deal with mean reversion (Ahmed et al 2018;Kuttu 2018;Nam et al 2006;Palwasha et al 2018).…”

Section: Modelmentioning

confidence: 99%

“…The majority of research conducted on this hypothesis focuses on developed stock markets in the United States and Europe (Ahmed et al 2018;Palwasha et al 2018;Poterba and Summers 1988;Spierdijk et al 2012). Very few studies address the market efficiency in the context of African stock markets (Anoruo and Gil-Alana 2011;Kuttu 2018;Mlambo and Biekpe 2007). Among the latter, (Mlambo and Biekpe 2007) 1 use a run test to show that the African markets (except those of Namibia, Botswana and 1 The markets studied in this paper are Egypt, Kenya, Zimbabwe, Morocco, Mauritius, Tunisia, Ghana, Namibia, Botswana and Côte d'Ivoire Kenya) have a significant number of stocks that do not fulfil the random walk assumption.…”

Section: Introductionmentioning

confidence: 99%

Asymmetric Mean Reversion in Low Liquid Markets: Evidence from BRVM

Gbenro

Moussa

2019

JRFM

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This paper analyzes the mean reversion property on the west African stock market (in French, Bourse Régionale des Valeurs Mobilières BRVM). For this purpose, we use two daily indices: (i) the composite index (BRVMC) and (ii) the index of the 10 most liquid assets (BRVM10) collected from 3 January 2005 to 29 June 2018. We estimate an asymmetric nonlinear autoregressive model with an EGARCH innovation to account for heteroskedasticity. The results suggest the existence of a mean reversion property for both indices. The half-life time is 7 days for the composite index and 2 days for the BRVM 10 index. Furthermore, using a rolling regression technique, we show that the estimated half-life time declines slightly for the composite index.

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Tests of goods market integration between China and African BRI countries

Lee,

Shum,

Woo

2023

International Studies of Economics

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The Chinese Government has promulgated the “Belt and Road Initiative” (BRI) to increase trade flows and integrate goods markets between China and BRI countries. The validity of purchasing power parity (PPP) implies well‐integrated goods markets, a precondition for further economic convergence, and the next stage of economic integration in factor, service, and financial markets. Our study aims to examine the validity of the PPP and the extent of goods market integration between China and selected BRI countries in Africa. Since the functional form of the cointegrating relationship may not be exact or linear, we adopt the nonparametric rank tests for analysis without prior knowledge and specification of the functional form. We also address the rank problems that occur in multivariate rank tests. Our empirical results provide strong evidence of an unrestricted PPP relationship with reasonably strong evidence of nonlinearity in the data. We also find that some African BRI countries have experienced goods market integration with China during the second‐half period only. This indicates that the introduction of the BRI in 2013 and China's active involvement in African economic development through BRI projects are leading to enhanced goods market integration between China and Africa. The results indicate favorable prospects of closer economic cooperation in the factor, service, and financial markets to build a free trade area or common markets with BRI countries in Africa.

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Asymmetric mean reversion and volatility in African real exchange rates

Cited by 4 publications

References 49 publications

Mean reversion in international markets: evidence from G.A.R.C.H. and half-life volatility models

Mean reversion in international markets: evidence from G.A.R.C.H. and half-life volatility models

Asymmetric Mean Reversion in Low Liquid Markets: Evidence from BRVM

Tests of goods market integration between China and African BRI countries

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