Ryan Gill
Affiliation: Department of Mathematics, University of Louisville, USA
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Long-memory in asset returns and volatility: evidence from West Africa
Emmanuel Numapau Gyamfi , Kwabena A. Kyei , Ryan Gill doi: http://dx.doi.org/10.21511/imfi.13(2).2016.03Investment Management and Financial Innovations Volume 13, 2016 Issue #2 pp. 24-28
Views: 948 Downloads: 208 TO CITEThis paper measures the degree of long-memory or long-range dependence in asset returns and volatility of two stock indices in Ghana and Nigeria. The presence of long-memory opens up opportunities for abnormal returns to be made by analyzing price history of a particular market.
The authors employ the Hurst exponent to measure the degree of long-memory which is evaluated by a semiparametric method, the Local Whittle estimator.
The findings show strong evidence of the presence of long-memory in both returns and volatility of the indices studied, suggesting that neither of the markets in Ghana and Nigeria is weak-form efficient