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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Format: | Article |
Language: | English |
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Tripal Publishing House
2022-08-01
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Series: | Journal of Economics and Financial Analysis |
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Online Access: | https://ojs.tripaledu.com/jefa/article/view/71 |
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author | Adefemi A. OBALADE Akona TSHUTSHA Lungelo MVUYANA Nothando NDLOVU Paul-Francois MUZINDUTSI |
author_facet | Adefemi A. OBALADE Akona TSHUTSHA Lungelo MVUYANA Nothando NDLOVU Paul-Francois MUZINDUTSI |
author_sort | Adefemi A. OBALADE |
collection | DOAJ |
description | 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 estimate daily stock indices return of Ghana stock exchange, Nairobi securities exchange, Botswana stock exchange and Bourse Regionale des Valeurs Mobilieres (BRVM) for 2000:1-2020:6 periods. The results show changing DOW effects in Kenya and Botswana which is consistent with the AMH. However, DOW effects cannot be validated in BRVM and Ghana. It suggests that each market must be treated with their own peculiarity even though they are ranked as frontier markets. We conclude that the changing DOW effects in the AMH context cannot be generalised in the frontier African markets and the existence of DOW effects must be treated with caution in BRVM and Ghana. |
first_indexed | 2024-03-12T23:12:48Z |
format | Article |
id | doaj.art-c16468057efd47dcb4f972fb2de96c15 |
institution | Directory Open Access Journal |
issn | 2521-6627 2521-6619 |
language | English |
last_indexed | 2024-03-12T23:12:48Z |
publishDate | 2022-08-01 |
publisher | Tripal Publishing House |
record_format | Article |
series | Journal of Economics and Financial Analysis |
spelling | doaj.art-c16468057efd47dcb4f972fb2de96c152023-07-17T18:27:57ZengTripal Publishing HouseJournal of Economics and Financial Analysis2521-66272521-66192022-08-0161193510.1991/jefa.v6i1.a4950Are Frontier African Markets Inefficient or Adaptive? Application of Rolling GARCH ModelsAdefemi A. OBALADE0Akona TSHUTSHA1Lungelo MVUYANA2Nothando NDLOVU3Paul-Francois MUZINDUTSI4University of Western CapeUniversity of KwaZulu-NatalUniversity of KwaZulu-NatalUniversity of KwaZulu-NatalUniversity of KwaZulu-NatalTime-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 estimate daily stock indices return of Ghana stock exchange, Nairobi securities exchange, Botswana stock exchange and Bourse Regionale des Valeurs Mobilieres (BRVM) for 2000:1-2020:6 periods. The results show changing DOW effects in Kenya and Botswana which is consistent with the AMH. However, DOW effects cannot be validated in BRVM and Ghana. It suggests that each market must be treated with their own peculiarity even though they are ranked as frontier markets. We conclude that the changing DOW effects in the AMH context cannot be generalised in the frontier African markets and the existence of DOW effects must be treated with caution in BRVM and Ghana.https://ojs.tripaledu.com/jefa/article/view/71calendar effectfrontier marketsgarchadaptive market hypothesismarket efficiencyrolling window. |
spellingShingle | Adefemi A. OBALADE Akona TSHUTSHA Lungelo MVUYANA Nothando NDLOVU Paul-Francois MUZINDUTSI Are Frontier African Markets Inefficient or Adaptive? Application of Rolling GARCH Models Journal of Economics and Financial Analysis calendar effect frontier markets garch adaptive market hypothesis market efficiency rolling window. |
title | Are Frontier African Markets Inefficient or Adaptive? Application of Rolling GARCH Models |
title_full | Are Frontier African Markets Inefficient or Adaptive? Application of Rolling GARCH Models |
title_fullStr | Are Frontier African Markets Inefficient or Adaptive? Application of Rolling GARCH Models |
title_full_unstemmed | Are Frontier African Markets Inefficient or Adaptive? Application of Rolling GARCH Models |
title_short | Are Frontier African Markets Inefficient or Adaptive? Application of Rolling GARCH Models |
title_sort | are frontier african markets inefficient or adaptive application of rolling garch models |
topic | calendar effect frontier markets garch adaptive market hypothesis market efficiency rolling window. |
url | https://ojs.tripaledu.com/jefa/article/view/71 |
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