Open AccessA investigation into share prices’ conditional heteroscedasticity and non-symmetrical model in the context of South Africa, Nigeria, and Egypt
Author(s) -
Abdullah Ejaz,
Petr Polák,
Zulfiqar Ali Amran
Publication year - 2021
Publication title -
management
Language(s) - English
Resource type - Journals
eISSN - 1846-3363
pISSN - 1331-0194
DOI - 10.30924/mjcmi.26.1.11
Subject(s) - volatility (finance) , heteroscedasticity , economics , stock (firearms) , portfolio , econometrics , diversification (marketing strategy) , financial economics , leverage effect , autoregressive conditional heteroskedasticity , business , geography , archaeology , marketing
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.