Purpose – The purpose of this paper is to examine the extent to which corporate managers alter their capital structure in response to risk exposures on the Ghana Stock Exchange (GSE). Design/methodology/approach – A panel data covering the period from 2002 to 2007 was employed under the...

Purpose – In this paper, it is set out a hybrid data analysis method based on the combination of wavelet techniques and principal-components regression (PCR). The purpose of this paper is to study the dynamics of the stock returns within the French stock market. Design/methodology/approach –...

Purpose – The purpose of this paper is to use filtered extreme-value theory (EVT) model to forecast one of the main emerging market stock returns and compare the predictive performance of this model with other conditional volatility models. Design/methodology/approach – This paper employs...

Purpose – The purpose of this paper is to examine, whether or not, the residuals of the market model (MM) are conditionally heteroscedastic; to examine, whether or not, there exists an intervalling effect in conditional heteroscedasticity in the residuals of the MM; to propose a simple...

Purpose – The purpose of this paper is to estimate the Beta Risk Coefficient of 32 listed companies (shares), which are included in the Ghana Stock Exchange (GSE All Share Index). Design/methodology/approach – This research investigated some of the issues that can affect beta estimates (the...

Purpose – The purpose of this paper is to estimate time-varying conditional volatility, and examine the extent to which trading volume, as a proxy for information arrival, explain the persistence of futures market volatility using National Stock Exchange S&P CRISIL NSE Index Nifty index...

Purpose – The purpose of this paper is to estimate time-varying conditional volatility, and examine the extent to which trading volume, as a proxy for information arrival, explain the persistence of futures market volatility using National Stock Exchange S&P CRISIL NSE Index Nifty index...

Purpose – The purpose of this paper is to estimate the Beta Risk Coefficient of 32 listed companies (shares), which are included in the Ghana Stock Exchange (GSE All Share Index). Design/methodology/approach – This research investigated some of the issues that can affect beta estimates (the...