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Asymmetry and Persistence of Stock Returns: A Case of the Ghana Stock Exchange

Received: 19 May 2016     Accepted: 31 May 2016     Published: 11 November 2016
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Abstract

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.

Published in International Journal of Business and Economics Research (Volume 5, Issue 6)
DOI 10.11648/j.ijber.20160506.11
Page(s) 183-190
Creative Commons

This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited.

Copyright

Copyright © The Author(s), 2016. Published by Science Publishing Group

Keywords

Asymmetry, Persistent, Half-Life, Volatility, Leverage Effect

References
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Cite This Article
  • APA Style

    Abonongo John, Oduro F. T., Ackora-Prah J., Luguterah Albert. (2016). Asymmetry and Persistence of Stock Returns: A Case of the Ghana Stock Exchange. International Journal of Business and Economics Research, 5(6), 183-190. https://doi.org/10.11648/j.ijber.20160506.11

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    ACS Style

    Abonongo John; Oduro F. T.; Ackora-Prah J.; Luguterah Albert. Asymmetry and Persistence of Stock Returns: A Case of the Ghana Stock Exchange. Int. J. Bus. Econ. Res. 2016, 5(6), 183-190. doi: 10.11648/j.ijber.20160506.11

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    AMA Style

    Abonongo John, Oduro F. T., Ackora-Prah J., Luguterah Albert. Asymmetry and Persistence of Stock Returns: A Case of the Ghana Stock Exchange. Int J Bus Econ Res. 2016;5(6):183-190. doi: 10.11648/j.ijber.20160506.11

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  • @article{10.11648/j.ijber.20160506.11,
      author = {Abonongo John and Oduro F. T. and Ackora-Prah J. and Luguterah Albert},
      title = {Asymmetry and Persistence of Stock Returns: A Case of the Ghana Stock Exchange},
      journal = {International Journal of Business and Economics Research},
      volume = {5},
      number = {6},
      pages = {183-190},
      doi = {10.11648/j.ijber.20160506.11},
      url = {https://doi.org/10.11648/j.ijber.20160506.11},
      eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.ijber.20160506.11},
      abstract = {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.},
     year = {2016}
    }
    

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    AU  - Abonongo John
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    AU  - Ackora-Prah J.
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    DO  - 10.11648/j.ijber.20160506.11
    T2  - International Journal of Business and Economics Research
    JF  - International Journal of Business and Economics Research
    JO  - International Journal of Business and Economics Research
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    UR  - https://doi.org/10.11648/j.ijber.20160506.11
    AB  - 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.
    VL  - 5
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Author Information
  • College of Science, Department of Mathematics, Kwame Nkrumah University of Science and Technology, Kumasi, Ghana

  • College of Science, Department of Mathematics, Kwame Nkrumah University of Science and Technology, Kumasi, Ghana

  • College of Science, Department of Mathematics, Kwame Nkrumah University of Science and Technology, Kumasi, Ghana

  • Faculty of Mathematical Sciences, Department of Statistics, University for Development Studies, Navrongo, Ghana

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