A investigation into share prices’ conditional heteroscedasticity and non-symmetrical model in the context of South Africa, Nigeria, and Egypt
This paper investigates the leverage effect in African countries by applying normal and non-normal distribution densities. Furthermore, we investigate the possible opportunities for portfolio diversification in South Africa, Nigeria, and Egypt. We find that negative stock returns do not generate hig...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
University of Split, Faculty of Economics
2021-01-01
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| Series: | Management : Journal of Contemporary Management Issues |
| Subjects: | |
| Online Access: | https://hrcak.srce.hr/file/376908 |
| _version_ | 1797206951920140288 |
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| author | Abdullah Ejaz Petr Polak Zulfiqar Ali Imran |
| author_facet | Abdullah Ejaz Petr Polak Zulfiqar Ali Imran |
| author_sort | Abdullah Ejaz |
| collection | DOAJ |
| description | This paper investigates the leverage effect in African countries by applying normal and non-normal distribution densities. Furthermore, we investigate the possible opportunities for portfolio diversification in South Africa, Nigeria, and Egypt. We find that negative stock returns do not generate higher volatility in further returns than past positive returns. All three countries are subject to the ARCH effect, where past stock information (volatility) influence the current stock returns (volatility). We also find that Gaussian distribution produces a better estimate as compared to non-normal distribution. In terms of portfolio diversification, returns are also subject to the ARCH effect, however, the leverage effect does not determine that past negative returns influence the current stock returns asymmetrically. |
| first_indexed | 2024-04-24T09:15:11Z |
| format | Article |
| id | doaj.art-bedc9682989048918beebf3dea643002 |
| institution | Directory Open Access Journal |
| issn | 1331-0194 1846-3363 |
| language | English |
| last_indexed | 2024-04-24T09:15:11Z |
| publishDate | 2021-01-01 |
| publisher | University of Split, Faculty of Economics |
| record_format | Article |
| series | Management : Journal of Contemporary Management Issues |
| spelling | doaj.art-bedc9682989048918beebf3dea6430022024-04-15T17:00:15ZengUniversity of Split, Faculty of EconomicsManagement : Journal of Contemporary Management Issues1331-01941846-33632021-01-0126118920010.30924/mjcmi.26.1.11A investigation into share prices’ conditional heteroscedasticity and non-symmetrical model in the context of South Africa, Nigeria, and EgyptAbdullah Ejaz0Petr Polak1Zulfiqar Ali Imran2Bredin College of Business and Health Care, Edmonton, CanadaMendel University in Brno, Czech RepublicUniversity of Lahore, Lahore Business School, PakistanThis paper investigates the leverage effect in African countries by applying normal and non-normal distribution densities. Furthermore, we investigate the possible opportunities for portfolio diversification in South Africa, Nigeria, and Egypt. We find that negative stock returns do not generate higher volatility in further returns than past positive returns. All three countries are subject to the ARCH effect, where past stock information (volatility) influence the current stock returns (volatility). We also find that Gaussian distribution produces a better estimate as compared to non-normal distribution. In terms of portfolio diversification, returns are also subject to the ARCH effect, however, the leverage effect does not determine that past negative returns influence the current stock returns asymmetrically.https://hrcak.srce.hr/file/376908volatilityGARCH modelsARCH effectportfolio diversificationcorrelationnormal and non-normal distribution |
| spellingShingle | Abdullah Ejaz Petr Polak Zulfiqar Ali Imran A investigation into share prices’ conditional heteroscedasticity and non-symmetrical model in the context of South Africa, Nigeria, and Egypt Management : Journal of Contemporary Management Issues volatility GARCH models ARCH effect portfolio diversification correlation normal and non-normal distribution |
| title | A investigation into share prices’ conditional heteroscedasticity and non-symmetrical model in the context of South Africa, Nigeria, and Egypt |
| title_full | A investigation into share prices’ conditional heteroscedasticity and non-symmetrical model in the context of South Africa, Nigeria, and Egypt |
| title_fullStr | A investigation into share prices’ conditional heteroscedasticity and non-symmetrical model in the context of South Africa, Nigeria, and Egypt |
| title_full_unstemmed | A investigation into share prices’ conditional heteroscedasticity and non-symmetrical model in the context of South Africa, Nigeria, and Egypt |
| title_short | A investigation into share prices’ conditional heteroscedasticity and non-symmetrical model in the context of South Africa, Nigeria, and Egypt |
| title_sort | investigation into share prices conditional heteroscedasticity and non symmetrical model in the context of south africa nigeria and egypt |
| topic | volatility GARCH models ARCH effect portfolio diversification correlation normal and non-normal distribution |
| url | https://hrcak.srce.hr/file/376908 |
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