مدل بازده سهام در بازارهای سهام در حال ظهور در آفریقا

We investigate the behaviour of stock returns in Africa's largest markets namely, Egypt, Kenya, Morocco, Nigeria, South Africa, Tunisia and Zimbabwe. The validity of the random walk hypothesis is examined and rejected by employing a battery of tests. Secondly we employ smooth transition and conditional volatility models to uncover the dynamics of the first two moments and examine weak form efficiency. The empirical stylized facts of volatility clustering, leptokurtosis and leverage effect are present in the African data.

The Efficient Markets Hypothesis (EMH) holds that asset prices and returns are determined by the outcome of supply and demand in a competitive market, peopled by rational traders. These rational traders rapidly assimilate any information that is relevant to the determination of asset prices or returns, hence current prices (returns) fully reflect all available information (Fama, 1970). The notion that current prices fully reflect all available information implies that successive price changes (returns) are independent. Further, successive price changes are identically distributed. These two requirements constitute the cornerstone of the random walk model (Fama, 1970, pp 386–87). At the same time there is growing evidence that stock returns exhibit stylized facts: first, the empirical distribution of stock returns appears to be excessively leptokurtic (Fama, 1965, Mandelbrot, 1963 and Nelson, 1991). Second, short-term stock returns exhibit volatility clustering. These processes have been modelled successfully by ARCH-type models (see Bollerslev, Chou, & Kroner, 1992, for a review). Third, changes in stock prices tend to be inversely related to changes in volatility (Bekaert and Wu, 2000, Black, 1976 and Christie, 1982). Most of the empirical work on these stylized facts has focused primarily on developed economies and a few emerging markets. For investors seeking opportunities in developing countries however, little is known about the dynamic characteristics of stock returns (see Appiah-Kusi and Menyah, 2003, Magnusson and Wydick, 2000, Mecagni and Sourial, 1999, Smith and Jefferis, 2005 and Lim, 2007 who address some of these issues in African markets). Work on testing the weak form of market efficiency where nonlinearities are taken into account is limited and international evidence includes Brooks (2007), Lim, Brooks, and Kim (2008) and Panagiotidis (2005) and the references therein. An extensive review of the institutional characteristics of the African stock markets appears in Irving (2005) and in Yartey (2008). With increasing globalisation and world-wide integration of financial systems, interest has been rekindled in African stock markets largely on account of their low correlations with the rest of the world and the role they play in portfolio diversification. In 1994, African markets posted the biggest gains in U.S. dollar terms among all markets worldwide — Kenya (75%), Ghanaian stocks (70%), Zimbabwe (30%), Egypt (67%). In 1995, African stock exchanges gained about 40%, with the value of stocks on the Nigerian Stock Markets and Côte d'Ivoire's bourse registering over 100% increase in dollar terms. Average returns on African stocks in 2004 reached 44%. This compares favourably with a 30% return by the Morgan Stanley Capital International (MSCI) global index; 32% in Europe; 26% in the U.S. (Standard & Poor's); and 36% in Japan (Nikkei).1 Additionally, African stock markets provide benefits of portfolio diversification as they tend to have zero or sometimes negative correlation with developed markets (see Harvey, 1995 for evidence on Nigeria and Zimbabwe). Recently, the Economist characterized Africa as globalization's final frontier for investors (29/7/07) and asking them to “Buy Africa” (19/2/2008). This paper examines empirically the validity of the efficient markets hypothesis in African markets. Market efficiency is important because efficient stock prices allow agents to diversify their sources of investment capital and spread investment risk (see Caprio & Demirguc-Kunt, 1998). Also efficient stock prices and yields provide benchmarks against which the cost of capital for and returns on investment projects can be judged (Green, Maggioni, & Murinde, 2000 and also Green, Kirkpatrick, & Murinde, 2005). Furthermore, since stock prices are forward looking, they provide a unique record of shifts in investors' views about the future prospects of companies as well as the economy (Green et al., 2005). The main objective of this paper is to investigate whether the stylized facts observed in major advanced markets are present in African stock markets. We investigate the validity of the random walk hypothesis and employ smooth transition regressions (STR) and conditional volatility (GARCH) models to uncover the dynamics of the first two moments of the series. First, a linear random walk (RW) is estimated for each market and the residuals are subjected to a battery of tests to investigate whether they are independently and identically distributed (iid). Models of the STR and GARCH family are then fitted. Our results show that the random walk is not adequate to capture the dynamics of the data. However, rejecting the random walk does not necessarily imply market inefficiency since market efficiency is a joint hypothesis (independent and identically distributed). We find evidence of volatility clustering in all countries (see also Brooks, 2007). In Kenya and Morocco, a change in stock prices is inversely related to volatility. Finally, we find a positive relationship between expected returns and risk in Tunisia, Kenya, Morocco and Zimbabwe. Thus, investors who venture into these markets are appropriately rewarded with higher returns for assuming greater risks. The next section outlines the econometric methodology. Section 3 presents the data. The penultimate section is analysis of empirical results and Section 5 concludes.

This paper examined stock return dynamics and the implication of conditional volatility models in daily index returns for seven African countries (Egypt, Kenya, Morocco, Nigeria, South Africa, Tunisia and Zimbabwe). Random walk and smooth transition models were estimated and a battery of tests was employed in all cases. GARCH, GARCH-M and EGARCH-M were fitted to model the conditional variance. The random walk model was rejected in all cases. It was found that the empirical stylized facts of volatility clustering, leptokurtosis and leverage effects are present in the African stock index returns. We showed that in Tunisia, Kenya and Morocco, investors are appropriately rewarded with higher returns for assuming greater risks. Also in Morocco and Kenya, changes in stock prices tend to be negatively related to changes in volatility. However, evidence to reject weak form efficiency for these markets was not found.