Asymmetry and Persistence of Stock Returns: A Case of the Ghana Stock Exchange
International Journal of Business and Economics Research
Volume 5, Issue 6, December 2016, Pages: 183-190
Received: May 19, 2016; Accepted: May 31, 2016; Published: Nov. 11, 2016
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Abonongo John, College of Science, Department of Mathematics, Kwame Nkrumah University of Science and Technology, Kumasi, Ghana
Oduro F. T., College of Science, Department of Mathematics, Kwame Nkrumah University of Science and Technology, Kumasi, Ghana
Ackora-Prah J., College of Science, Department of Mathematics, Kwame Nkrumah University of Science and Technology, Kumasi, Ghana
Luguterah Albert, Faculty of Mathematical Sciences, Department of Statistics, University for Development Studies, Navrongo, Ghana
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Measuring and estimating volatility of asset return is bubbly for risk management, asset allocation, and option pricing. This paper investigated the asymmetry and persistence of the return of some stocks on the Ghana Stock Exchange using univariate TGARCH-M (1, 1) and half-life measure of the daily returns of eight stocks from 02/01/2004 to 20/12/2014. It was realized that, volatility was persistent (explosive process) in all the stocks. The persistence in volatility was extended in investigating the half-life measure of the stocks and it was realized that almost all the stocks had strong mean reversion and short half-life measure with the exception of Fan Milk Limited. Also all the returns series exhibited a positive leverage effect parameter indicating that bad news influenced volatility than good news of the same magnitude.
Asymmetry, Persistent, Half-Life, Volatility, Leverage Effect
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Abonongo John, Oduro F. T., Ackora-Prah J., Luguterah Albert, Asymmetry and Persistence of Stock Returns: A Case of the Ghana Stock Exchange, International Journal of Business and Economics Research. Vol. 5, No. 6, 2016, pp. 183-190. doi: 10.11648/j.ijber.20160506.11
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