Uyaebo, Stephen O.; Atoi, Victor N.; Usman, Farida - In: CBN journal of applied statistics 6 (2015) 2, pp. 133-160
dummy on two innovation assumptions using daily all share index of Nigeria, Kenya, United States, Germany, South Africa and … volatility of Nigeria and Kenya stock returns react to market shock faster than as other countries do. The results also suggest … the absence of leverage effect in Nigeria and Kenya stock returns, but confirm its existence in others. In conclusion, the …