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

Abonongo John; Oduro F. T.; Ackora-Prah J.; Luguterah Albert

doi:doi:10.11648/j.ijber.20160506.11

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

Abonongo John, Oduro F. T., Ackora-Prah J., Luguterah Albert

Published in International Journal of Business and Economics Research (Volume 5, Issue 6)

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

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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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TY  - JOUR
T1  - Asymmetry and Persistence of Stock Returns: A Case of the Ghana Stock Exchange
AU  - Abonongo John
AU  - Oduro F. T.
AU  - Ackora-Prah J.
AU  - Luguterah Albert
Y1  - 2016/11/11
PY  - 2016
N1  - https://doi.org/10.11648/j.ijber.20160506.11
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
SP  - 183
EP  - 190
PB  - Science Publishing Group
SN  - 2328-756X
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
IS  - 6
ER  -

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Author Information

Abonongo John

College of Science, Department of Mathematics, Kwame Nkrumah University of Science and Technology, Kumasi, Ghana
Oduro F. T.

College of Science, Department of Mathematics, Kwame Nkrumah University of Science and Technology, Kumasi, Ghana
Ackora-Prah J.

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

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

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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

Copy | Download

@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}
}

Copy | Download

TY  - JOUR
T1  - Asymmetry and Persistence of Stock Returns: A Case of the Ghana Stock Exchange
AU  - Abonongo John
AU  - Oduro F. T.
AU  - Ackora-Prah J.
AU  - Luguterah Albert
Y1  - 2016/11/11
PY  - 2016
N1  - https://doi.org/10.11648/j.ijber.20160506.11
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
SP  - 183
EP  - 190
PB  - Science Publishing Group
SN  - 2328-756X
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
IS  - 6
ER  -

Copy | Download