Drama, Bedi Guy Herve and Yao, Shen (2010): Management of Stock Price and it Effect on Economic Growth: Case study of West African Financial Markets.
Download (1MB) | Preview
Abstract This paper investigates the statistical properties of stock returns in the West African regional stock market and the link between the West African regional stock market and economic growth. To examine the nature of the distribution of West African regional stock returns, the daily closing prices of the two stock index of West African regional stock market, and eighteen of it sub-indices were utilized. Nine years data from 1998 to 2007 interval were employed. The analysis of our study shows that the distribution of the West African regional stock market returns is non-normal and non-i.i.d (independent, identically and normally distributed). The linear and non-linear dependencies in the returns appeared to be the main reasons for the data being non-i.i.d. The study also demonstrates the presence of the day-of-the-week effect in West African regional stock market.
|Item Type:||MPRA Paper|
|Original Title:||Management of Stock Price and it Effect on Economic Growth: Case study of West African Financial Markets|
|English Title:||Management of Stock Price and it Effect on Economic Growth: Case study of West African Financial Markets|
|Keywords:||Key words: West Africa regional stock markets, day of the week effects, growth.|
|Subjects:||G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets|
|Depositing User:||Bedi Guy Herve Drama|
|Date Deposited:||11. Sep 2010 10:09|
|Last Modified:||12. Feb 2013 12:27|
Agrawal, A., & Kishore, T. (1994). “Anomalies or Illusions? Evidence from Stock Markets in Eighteen Countries,” . Journal of International Money and Finance, Vol. 13, pp. 83–106. Akgiray, V. (1989). ‘Conditional Heteroscedasticity in Time Series of Stock Returns:Evidence and Forecasts’ . Journal of Business, Vol. 62, No.1, pp 55-80. Alexakis, P., & Xanthakis, M. (1995). Day of the week effect on the Greek stock market. . Applied Financial Economics 5, 43-50. Balaban, E. ((1995,1996)). "Day of the Week Effects: New Evidence from an Emerging Stock Market," . Applied Economics Letters, 2, 139-143. Barnea, A., & Downes, D. (June 1973). "A re-examination of the empirical Distribution of Stock Price Change". Journal of the American Statistical Association. Blattberg, R., & Gondeds, N. (1974). "A Comparison of the Stable and Student Distribution as statistical models for stock prices ". Journal of Business 47 April 244-80. Blume, M. (1970). “Portfolio Theory: A Step Towards Its Practical Application.”. Journal of Business. 43:2, pp. 152-174. Booth, & al, e. (1994). On the Idea of the Moral Economy’, . The American Political Science Review, Vol 88, No 3: 653667. Booth, G., Martikainen, T., & Tse, Y. (1997). Price and volatility spillovers in Scandinavian stock markets. Journal of Banking and Finance, 21, pp. 811-823. Brorsen, B., & Yang, R. S. (1994). “Nonlinear Dynamics and the Distribution of Daily Stock Index Returns”, . Journal of Financial Research 17, 187-203. Cheung, Y., Ho, P. Y.-k., & Draper, P. (1994). “Intraday Stock Return Volatility:the Hong Kong Evidence. ” Pacific-Basin Finance Journal, 2, 261-276,. Clark, P. (1973). “A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices",. Econometrica, 41, 135—155. Corhay, A., & Rad, A. (1994). Daily returns from European stock markets. Journal of Business and Finance and Accounting, 21, 271-281. Corhay, A., & Rad, T. (1994). ‘Statistical Properties of Daily Returns: Evidence from European Stock Markets’ . Journal of Business Finance and Accounting, 21, pp 271-282. Corhay, A., & Rad, T. (1994). ‘Statistical Properties of Daily Returns: Evidence from European Stock Markets’ . Journal of Business Finance and Accounting, 21, pp 271-282. Cowles, A., & Jones, H. ( 1937). “Some A Posteriori Probabilities in Stock Market Action,”. Econometrica 5, 280-294. Dickey, D., & Fuller, W. (1979). Distribution of the Estimators for Autoregressive Time Series with a Unit Root. Journal of the American Statistical Association, 74, p. 427–431. Epps, M. L., & Epps, T. W. (1976). The Stochastic Dependence of Security Prices Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis. Econometrica, 44(2), pp. 305-321. Errunza, Hogan, Kini, & Padmanabh. (1994). Conditional Heteroskedasticity and Global Stock Return Distributions. . Financial Review, 29(3), 293-317. Errunza, V. R., & al. (1994). “Conditional heteroskedasticity and global stock return distribution” . Financial Review 29, 293−317. Fama, E. (1965). The Behaviors of Stock Price. . Journal of Business. Fama, E. F. (1963). "Mandelbrot and the Stable Paretian Hypothesis,. " Journal of Business, XXXVI (October, 1963), 420-29. Fama, E. F. (1965). Portfolio Analysis in a Stable Paretian Market. Management Science Science (January). French, & Roll. (1986). Stock return variances: The arrival of information and the reaction of traders. Journal of Financial Economics 17, 5-26. Ghysels, e. a. (2007). Handbook of financial time series. Business & Economics - 1050 pages. Gibbons, M., & Hess, P. ((October 1981)). "Day of the Week Effects and Asset Returns,". Journal of Business, pp. 579-596. Granger, C. W. (1969). Investigating causal relations by econometric models and cross-spectral methods. . Econometrica 37, 424-438. Hagerman, R. (1978). More evidence on the distribution of security returns, . Journal of Finance 33. 1213-1221. Harris, L. (1986). “Transaction Data Study of Weekly and Internal Patterns in Stock Returns.”. Journal of Financial Economics 16: 99-117. Hinich, M., & Patterson, D. (1985). Evidence of nonlinearity in daily stock returns, . Journal of Business and Economic Statistics 3, 69-77. Hsieh, D. (1988). "Statistical Properties of Daily Exchange Rates." . Journal of International Economics, 24 (1988), 129-145. Hsieh, D. (1989). Modeling heteroscedasticity in daily foreign-exchange rates, . Journal of Business and Economic Statistics 7, 307-317. Hsieh, D. (1988). The statistical properties of daily exchange rates: . 1974-1983, Journal of International Economics 24, 129-145. Jaffe, Jeffery, & Westerfield. (1985, 1989). “The Week-End Effect in Common Stock Returns: The International Evidence,”. Journal of Finance, Vol. 40, June 1985, pp. 433-454. Jarque-Bera. (1987). A test for normality of observations and . regression residuals, International Statistical Review, 55, 163–172. Jirayuth, C., & Ravindra, K. (2002). An Investigation of the Day-of-the-week Effect in Korea: Has the Anomalous Effect Vanished in the 1990’s? INTERNATIONAL JOURNAL OF BUSINESS, 7(1), 2002 ISSN:1083-4346. Jung, W. (1986). "Financial Development & Economic Growth: International Evidence". Economic Development and Cultural Change, 34, PP. 333-46. Kamath, R., & al. (1998). “Return distribution and the Day-of-the-Week Effects in the Stock Exchange of Thailand” . Journal of Economics and Finance, Vol. 22, No. 2-3, 97-106. Kar, M., & Pentecost, E. (2000). Financial development and economic growth in turkey:. Further evidence on the causality issue. 00/27. Keim, D., & Stambaugh, R. (1984). A future investigation of the weekend effect in stock returns,. Journal of Finance 39,819-835. Kendall, M. (1953). The Analysis of Economic Time Series-Part I: Prices. ROYAL STATISTICAL SOCIETY journal, Series A,Vol. cxvI, Part I,. Lamoureux, C., & Lastrapes, W. (1990). Persistence in variance, structural change, and the GARCH model, . Journal of Business and Economic Statistics 8, 225-234. Levine, R., & al. (1999). Law Finance and Economic Growth. Journal of Finance Intermediation 8(1/2),36-67. Mandelbrot, B. (1962). A Class of Long-taileg Probability Distributions and the Empirical Distribution of City Sizes,". Research note, Thomas J. Watson Research Center, Yorktown Heights, N.Y., May 23,. Martikainen, T., & Puttonen, V. (1990). Sequential Information arrival in stock and stock index derivatives markets. . European Journal of Finance 2:2 207-217. Officer, R. (1972). "The Distribution of Stock Returns". Journal of the American Statistical Association, 340, (67), pp.807-12. Peiró, A. (1999). Skewness in financial returns, . journal of Banking & Finance 23, 847-862. Phillips–Perron. (1988). Testing for a Unit Root in Time Series Regression". Biometrika, 75, 335–346. Praetz, P. (1972). "The Distribution of Share Price Change". Journal of business 45 january 49-55. Richardson, M., & Smith, T. (1994). "A Unified Approach to testing for Serial Correlation in Stock Returns," . Journal of Business, 1994, 67 (3),. Rogalski, R. (1984). “New findings regarding day of the week returns over trading and non trading periods: A note”,. Journal of Finance, December, pp. 1603-1614. Sewell, S. R., Lee, S. I., & Pan, M. (1993). Nonlinearities in emerging foreign capital markets,. Journal of Business Finance & Accounting, 20, 237-248. Smirlock, M., & Starks, L. (1986). Day of the week and intraday effects in stock returns,. Journal of Financial Economics, Vol.17, (1986), pp197-210. Tauchen, G., & Pitts, M. (1983). ‘The price variability-volume relationship on speculative markets’. Econometrica, vol. 51, pp. 485–505. Teichmoeller, J. (1971). “A Note on the Distribution of Stock Price Changes.” . Journal of the American Statistical Association 66 (1971), 282-284. Theodossiou, P., & Lee, U. (1995). “Relationship Between Volatility and Expected Returns Across International Stock Markets.“ . Journal of Business Finance and Accounting 22: 289-300. Toda, H., & Yamamoto, T. (1995). “Statistical inference in vector autoregressions with possibly integrated processes”.: Journal of Econometrics, 66,225-250. Valkanov, a. a. (2006). Forecasting Realized Volatility: A Bayesian Model Averaging Approach. Forthcoming in Handbook of Economic Forecasting. Waqabaca, C. (2004). “Financial Development and Economic Growth in Fiji”, . Economics Department, Reserve Bank of Fiji, WP 03. Waston, M. W. (1994). Vector Autoregression and Cointegration Chap.14 Hand book of econometrics Volume IV. Amsterdam: Edit by Robert Engel and Daniel McFadden. Westerfield, R. (1977). “The distribution of common stock price changes: An application of transactions time and subordinated stochastic models”. Journal of Financial and Quantitative Analysis, Vol. 12, pp. 743-765.