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- Title
Asymmetric Mean Reversion in Low Liquid Markets: Evidence from BRVM.
- Authors
Gbenro, Nathaniel; Moussa, Richard Kouamé
- Abstract
This paper analyzes the mean reversion property on the west African stock market (in French, Bourse Régionale des Valeurs Mobilières BRVM). For this purpose, we use two daily indices: (i) the composite index (BRVMC) and (ii) the index of the 10 most liquid assets (BRVM10) collected from 3 January 2005 to 29 June 2018. We estimate an asymmetric nonlinear autoregressive model with an EGARCH innovation to account for heteroskedasticity. The results suggest the existence of a mean reversion property for both indices. The half-life time is 7 days for the composite index and 2 days for the BRVM 10 index. Furthermore, using a rolling regression technique, we show that the estimated half-life time declines slightly for the composite index.
- Subjects
MEAN reversion theory; STOCK exchanges; AUTOREGRESSIVE models; HETEROSCEDASTICITY; COMPOSITE indexes (Finance)
- Publication
Journal of Risk & Financial Management, 2019, Vol 12, Issue 1, p1
- ISSN
1911-8066
- Publication type
Article
- DOI
10.3390/jrfm12010038