Unobserved structural shifts and asymmetries in the random walk model for stock returns in African frontier markets
Year of publication: |
2020
|
---|---|
Authors: | Villiers, David de ; Apopo, Natalya ; Phiri, Andrew |
Published in: |
Cogent economics & finance. - Abingdon : Taylor & Francis, ISSN 2332-2039, ZDB-ID 2773198-4. - Vol. 8.2020, 1, p. 1-21
|
Subject: | Africa | efficient market hypothesis (EMH) | unit roots | nonlinearities | unobservedstructural breaks | Fourier approximation | Effizienzmarkthypothese | Efficient market hypothesis | Aktienmarkt | Stock market | Afrika | 2001-2017 |
Type of publication: | Article |
---|---|
Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.1080/23322039.2020.1769348 [DOI] hdl:10419/245320 [Handle] |
Classification: | C21 - Cross-Sectional Models; Spatial Models ; C22 - Time-Series Models ; C51 - Model Construction and Estimation ; G14 - Information and Market Efficiency; Event Studies |
Source: | ECONIS - Online Catalogue of the ZBW |
-
dde Villiers, David, (2020)
-
Market Efficiency in Developing African Stock Markets : What Do We Know?
Afego, Pyemo, (2016)
-
Market Integration and Informational Efficiency of Africa's Stock Markets
Aawaar, Godfred, (2018)
- More ...
-
dde Villiers, David, (2020)
-
Villiers, David de, (2022)
-
Mhlakaza, Graham A., (2023)
- More ...