Modeling Stock Market Returns under Self-exciting Threshold Autoregressive Model: Evidence from West Africa
The study seeks to investigate whether non-linear patterns are present in the returns of two indices on the stock markets in Ghana and Nigeria between the period of 2011 and 2015.The results of applying four linearity tests on the returns concluded that the null of linearity is rejected on all four...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
EconJournals
2016-07-01
|
| Series: | International Journal of Economics and Financial Issues |
| Online Access: | http://mail.econjournals.com/index.php/ijefi/article/view/2418 |
| _version_ | 1797911514147979264 |
|---|---|
| author | Emmanuel Numapau Gyamfi Kwabena A. Kyei |
| author_facet | Emmanuel Numapau Gyamfi Kwabena A. Kyei |
| author_sort | Emmanuel Numapau Gyamfi |
| collection | DOAJ |
| description |
The study seeks to investigate whether non-linear patterns are present in the returns of two indices on the stock markets in Ghana and Nigeria between the period of 2011 and 2015.The results of applying four linearity tests on the returns concluded that the null of linearity is rejected on all four tests for the Ghanaian index but mixed for the Nigerian index. We modelled the indices under the non-linear self-exciting threshold autoregressive (SETAR) model. We compared the modelling performance of the non-linear SETAR model with that of the standard AR (1) and AR (2) by analyzing AIC values of the respective models. Our results show that the SETAR model ï¬ts the data well. Hence, modelling stock market returns from Ghana and Nigeria using linear models might lead to spurious conclusions.
Keywords: Threshold models, Linearity tests, Self-Exciting Threshold Autoregressive (SETAR) model
JEL Classifications: C12, C13, C24
|
| first_indexed | 2024-04-10T11:42:02Z |
| format | Article |
| id | doaj.art-7d96d142bcf44a908ba100cbccb832c8 |
| institution | Directory Open Access Journal |
| issn | 2146-4138 |
| language | English |
| last_indexed | 2024-04-10T11:42:02Z |
| publishDate | 2016-07-01 |
| publisher | EconJournals |
| record_format | Article |
| series | International Journal of Economics and Financial Issues |
| spelling | doaj.art-7d96d142bcf44a908ba100cbccb832c82023-02-15T16:17:31ZengEconJournalsInternational Journal of Economics and Financial Issues2146-41382016-07-0163Modeling Stock Market Returns under Self-exciting Threshold Autoregressive Model: Evidence from West AfricaEmmanuel Numapau Gyamfi0Kwabena A. Kyei1School of Business, GIMPA, Ghana. AND Department of Statistics, University of Venda, South AfricaDepartment of Statistics, University of Venda, South Africa The study seeks to investigate whether non-linear patterns are present in the returns of two indices on the stock markets in Ghana and Nigeria between the period of 2011 and 2015.The results of applying four linearity tests on the returns concluded that the null of linearity is rejected on all four tests for the Ghanaian index but mixed for the Nigerian index. We modelled the indices under the non-linear self-exciting threshold autoregressive (SETAR) model. We compared the modelling performance of the non-linear SETAR model with that of the standard AR (1) and AR (2) by analyzing AIC values of the respective models. Our results show that the SETAR model ï¬ts the data well. Hence, modelling stock market returns from Ghana and Nigeria using linear models might lead to spurious conclusions. Keywords: Threshold models, Linearity tests, Self-Exciting Threshold Autoregressive (SETAR) model JEL Classifications: C12, C13, C24 http://mail.econjournals.com/index.php/ijefi/article/view/2418 |
| spellingShingle | Emmanuel Numapau Gyamfi Kwabena A. Kyei Modeling Stock Market Returns under Self-exciting Threshold Autoregressive Model: Evidence from West Africa International Journal of Economics and Financial Issues |
| title | Modeling Stock Market Returns under Self-exciting Threshold Autoregressive Model: Evidence from West Africa |
| title_full | Modeling Stock Market Returns under Self-exciting Threshold Autoregressive Model: Evidence from West Africa |
| title_fullStr | Modeling Stock Market Returns under Self-exciting Threshold Autoregressive Model: Evidence from West Africa |
| title_full_unstemmed | Modeling Stock Market Returns under Self-exciting Threshold Autoregressive Model: Evidence from West Africa |
| title_short | Modeling Stock Market Returns under Self-exciting Threshold Autoregressive Model: Evidence from West Africa |
| title_sort | modeling stock market returns under self exciting threshold autoregressive model evidence from west africa |
| url | http://mail.econjournals.com/index.php/ijefi/article/view/2418 |
| work_keys_str_mv | AT emmanuelnumapaugyamfi modelingstockmarketreturnsunderselfexcitingthresholdautoregressivemodelevidencefromwestafrica AT kwabenaakyei modelingstockmarketreturnsunderselfexcitingthresholdautoregressivemodelevidencefromwestafrica |