Understanding the pattern of stock market volatility is important to investors as well as for investment policy. Volatility is directly associated with risks and returns, higher the volatility the more financial market is unstable. The volatility of the Zimbabwean stock market is modeled using...

The objective of this study was to analyse the changes in the intraday market microstructure behaviour before a takeover announcement for a sample of target, bidder and control (non-target) companies. Under the hypothesis that agents with asymmetric information were operating in the market, the...

The prices of food in Nigeria have become considerably higher and more volatile since 2012. The aim of this research was to ascertain factors affecting farmers’ involvement in the growth enhancement support programme (GESS) in the country. We ascertained the effect of the GESS on the handiness...

The class of generalized autoregressive conditional heteroscedastic (GARCH) models has proved particularly valuable in modelling time series with time varying volatility. These include financial data, which can be particularly heavy tailed.This paper investigates the time-series behavior of...

This study focused on the impact of crude oil, crude palm oil spot and futures of prices on African equity markets. It draws on daily data from January 2000 till July 2013, obtained from Bloomberg. The study employed Vector Error Correction (VEC). Findings from the econometric analysis show that...

The study looked at the relationship between Stock Markets and Foreign Exchange market, and determined whether movements in exchange rates have an effect on stock market in Ghana. The Exponential Generalised Autoregressive Conditional Heteroskedascity (EGARCH) model was used in establishing the...

The prices of food in Nigeria have become considerably higher and more volatile since 2012. The aim of this research was to ascertain factors affecting farmers' involvement in the growth enhancement support programme (GESS) in the country. We ascertained the effect of the GESS on the handiness...

This study examined the impact of oil price on African stock markets. Using quarterly data from five selected oil producing countries with stock market presence, from Q1:2010 to Q4:2018, the study deployed dynamic panel analysis technique for a model comprising stock returns, real gross domestic...

This paper examines the connectedness between investor sentiment and returns and volatility on environmental, social, and governance (ESG) indices in Morocco and Egypt. Therefore, we construct a new investor sentiment index and use weekly data from January 2018 to December 2023, along with the...

We study the impact of oil price shocks on U.S. stock market volatility. We derive three different structural oil shock variables (i.e. aggregate demand, oil-supply, and oil-demand shocks) and relate them to stock market volatility, using bivariate structural VAR models, one for each oil price...