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See detailMarchés boursiers africains : problématique de l’efficience, dynamique de la volatilité, rendement et volume des transactions
Woroucoubou, Habibou ULiege

Doctoral thesis (2013)

With the exception of the Johannesburg Stock Exchange, African stock markets are characterized, in their vast majority, by a marginal number of listed companies, low capitalization, low trading volume and ... [more ▼]

With the exception of the Johannesburg Stock Exchange, African stock markets are characterized, in their vast majority, by a marginal number of listed companies, low capitalization, low trading volume and low liquidity. These characteristics raise questions about the volatility, efficiency, optimal compensation risks to investors and, more generally, to the price adjustment speed to the information conveyed by the volume of transactions. The objective of this doctoral work is to study the behavior of African stock markets through volatility, price, return and volume of transactions in connection with the performance and volatility. Compared to the volatility modeling, the study shows that the EGARCH model is the most suitable process may be applied to the data of African stock markets for estimating and forecasting volatility. For efficiency, the study shows that only the market of South Africa seems to be informationally efficient in the weak form. The analysis of the risk-return relationship reveals that only less developed markets (except Botswana) show a positive and significant premium risk. Such a result means that the least developed African stock markets in the sample reach rewarded accordingly risks for investors. For asymmetry, the study shows that there is presence of leverage for all emerging markets, indicating that in these markets, the bad news has a greater impact on volatility than good news of the same magnitude. In contrast, for less developed markets, there is no leverage. With respect to the relationship between the volume of transactions, performance and volatility, the study shows that emerging African stock markets showed a more or less close to the behavior of other emerging and developed markets of the world in terms of leverage, contemporary positive relationship and causality between trading volume and performance on the one hand, and between trading volume and volatility, on the other hand. In contrast, for other less developed stock markets, the impact of volume on return and volatility is less noticeable. [less ▲]

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