Are Frontier African Markets Inefficient or Adaptive? Application of Rolling GARCH Models

Are Frontier African Markets Inefficient or Adaptive? Application of Rolling GARCH Models

Time-varying calendar anomaly is thinly investigated in frontier stock markets. This study evaluates the day-of-the-week (DOW) calendar effects within the adaptive market hypothesis framework in frontier African stock markets. The study applies rolling analyses of the various GARCH family models to...

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Bibliographic Details
Main Authors: Adefemi A. OBALADE, Akona TSHUTSHA, Lungelo MVUYANA, Nothando NDLOVU, Paul-Francois MUZINDUTSI
Format: Article
Language:English
Published: Tripal Publishing House 2022-08-01
Series:Journal of Economics and Financial Analysis
Subjects:
calendar effect
frontier markets
garch
adaptive market hypothesis
market efficiency
rolling window.
Online Access:https://ojs.tripaledu.com/jefa/article/view/71

Internet

https://ojs.tripaledu.com/jefa/article/view/71

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