Return behaviour in Africa's emerging equity markets

摘要

This paper provides evidence on return predictability in Africa's emerging equity markets. We concentrate our analysis on the behaviour of the first and second moments of return behaviour, risk return trade off and mean reversion. In a novel contribution to the stock return literature, we establish that individual time varying returns are predictable. Moreover, we find that empirical stylized facts such as volatility clustering, leptokurtosis and leverage effect are present in the African data. Using fractional integration techniques, we find that all African markets in our sample display evidence of long memory: an important indication of less than perfect arbitrage.