This thesis explores various aspects of long memory behaviour in African stock markets (ASMs). First, we examine long memory in both equity returns and volatility using the weak-form version of the efficient market hypothesis (EMH) as a criterion. The results show that these mar…
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Significant prediction of asset prices is of a great importance in financial economics. When studying economic and financial phenomena, it is essential to correctly specify the model. If the true dynamics are nonlinear, using linear methods will probably be irrelevant in doing e…
Researchers have identified inefficiencies in the Chinese stock market and recommended further empirical tests. The purpose of this quantitative study was to determine (a) the characteristics of assets returns in the Chinese market and (b) the impact of government’s stock market…
Essay 1 tests the ability of a commercial structural credit default swap pricing model to predict market spreads. Consistent with several previous studies testing other models, we find our model unable to price credit risk precisely and observe an illiquidity premium reflecting …
Stimulating economic development and growth has been difficult in Sub-Saharan Africa (SSA). In this three-essay dissertation, I examine and assess two strategies—market-based risk management through hedging, and growth through aid—that could potentially facilitate growth in SSA.…
This dissertation is divided into an introductory chapter and four essays. Chapter one discusses the importance of the study and describes the development and growth of the market as well. The first part (Chapters 2 & 3) examines stock returns behaviour and trading activity arou…
This thesis examines the efficacy of markets, using both quantitative and qualitative methods in a complementary way. Specifically, it starts (in Part II) by using the results from a quantitative analysis of initial public offering (IPO) underpricing as a barometer for corporate…