Download this Paper Open PDF in Browser

Modelling Stock Returns in Southern Africa's Equity Markets

Journal for the Study of Economics and Econometrics, Forthcoming

19 Pages Posted: 20 Oct 2008  

Bruce Allen Hearn

University of Sussex

Jenifer Piesse

University of Stellbosch; King's College London - Department of Management

Date Written: October 17, 2008

Abstract

This paper contrasts the forecasting performance of three time series models for three very small frontier equity markets and one merging market in Africa. In the light of proposed regional equity market integration this study reveals potential benefits from diversification to South African investors from Namibia while Swaziland and Mozambique markets remain segmented. The evidence suggests that the CAPM with GARCH representation of errors outperforms the standard GARCH in capturing information. It also sheds light on the higher transactions costs faced by rational investors in Swaziland and Mozambique through the substantially higher conditional variance present in these markets.

Keywords: Portfolio Choice, Asset pricing, International Financial Markets, Sub-Saharan Africa

JEL Classification: G11, G12, G15, O55

Suggested Citation

Hearn, Bruce Allen and Piesse, Jenifer, Modelling Stock Returns in Southern Africa's Equity Markets (October 17, 2008). Journal for the Study of Economics and Econometrics, Forthcoming. Available at SSRN: https://ssrn.com/abstract=1286040

Bruce Allen Hearn (Contact Author)

University of Sussex ( email )

Sussex House
Falmer
Brighton, Sussex BNI 9RH
United Kingdom

Jenifer Piesse

University of Stellbosch

Stellenbosch, Western Cape
South Africa

King's College London - Department of Management ( email )

Virginia Woolf Building
22 Kingsway
London, England WC2B 6NR
United Kingdom

Paper statistics

Downloads
138
Rank
177,503
Abstract Views
655