Feedback Trading and Autocorrelation Patterns in Sub-Saharan African Equity Markets

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6 Citations (Scopus)

Abstract

This article examines feedback trading and autocorrelation pattern of stock returns in the equity markets of Ghana, Kenya, Nigeria, and South Africa. We find evidence that positive feedback trading induces negative autocorrelation in the stock returns of Ghana, Kenya, Nigeria, and South Africa. The negative autocorrelation occurs during periods of increasing volatility, and all the four equity markets exhibit volatility asymmetry. We also find that Ghana, Nigeria, and South Africa were influenced by the 2008–2009 global financial crisis, and South Africa experienced the largest impact. These findings may have implications for risk management and price discovery in these equity exchanges.

Original languageEnglish
Pages (from-to)213-225
Number of pages13
JournalEmerging Markets Finance and Trade
Volume53
Issue number1
DOIs
Publication statusPublished - 2 Jan 2017
Externally publishedYes

Keywords

  • EGARCH
  • feedback trading
  • financial crisis
  • sub-Saharan Africa

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