This paper examines the finance growth link of two low-income Sub-Saharan African economies - Ethiopia and Kenya - which have different financial systems but are located in the same region. Unlike previous studies, we account for the role of non-bank financial intermediaries and formally model...

Purpose – The purpose of this paper is to estimate volatility in African stock markets (ASMs), taking account of periodic level shifts in the mean level of volatility, where the regime shifts are determined endogenously. Design/methodology/approach – Volatility estimates are incorporated...

Purpose – The purpose of this paper is to investigate the asymptotic distribution of the extreme daily stock returns in African stock markets over the period 1996-2007 and examine the implications for downside risk measurement. Design/methodology/approach – Extreme value theory methods are...

Purpose – The purpose of this paper is to examine whether stock dividend announcements create value for companies traded on the Nigerian stock market and to ascertain the nature of the information such announcements convey. Design/methodology/approach – A standard event study methodology,...

Purpose – The purpose of this paper is to investigate and compare the weak-form efficiency of a set of 24 African continent-wide stock price indices and those of eight individual African national stock price indices. Design/methodology/approach – Variance-ratio tests based on ranks and signs...