A investigation into share prices’ conditional heteroscedasticity and non-symmetrical model in the context of South Africa, Nigeria, and Egypt

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...

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Bibliographic Details
Main Authors: Abdullah Ejaz, Petr Polak, Zulfiqar Ali Imran
Format: Article
Language:English
Published: University of Split, Faculty of Economics 2021-01-01
Series:Management : Journal of Contemporary Management Issues
Subjects:
volatility
GARCH models
ARCH effect
portfolio diversification
correlation
normal and non-normal distribution
Online Access:https://hrcak.srce.hr/file/376908

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