Emmanuel Numapau Gyamfi
-
2 publications
-
234 downloads
-
684 views
- 674 Views
-
0 books
-
Time-varying world integration of the African stock markets: a Kalman Filter approach
Anokye M. Adam , Emmanuel Numapau GyamfiInvestment Management and Financial Innovations Volume 12, 2015 Issue #3 (cont.) pp. 175-181
Views: 451 Downloads: 219 TO CITE -
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: 209 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