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Modeling Stock Market Returns under Self-exciting Threshold Autoregressive Model: Evidence from West Africa

Year 2016, Volume: 6 Issue: 3, 1194 - 1199, 01.05.2016

Emmanuel Numapau Gyamfi Kwabena A. Kyei

Abstract

The study seeks to investigate whether non-linear patterns are present in the returns of two indices on the stock markets in Ghana and Nigeria between the period of 2011 and 2015.The results of applying four linearity tests on the returns concluded that the null of linearity is rejected on all four tests for the Ghanaian index but mixed for the Nigerian index. We modelled the indices under the non-linear self-exciting threshold autoregressive (SETAR) model. We compared the modelling performance of the non-linear SETAR model with that of the standard AR (1) and AR (2) by analyzing AIC values of the respective models. Our results show that the SETAR model fits the data well. Hence, modelling stock market returns from Ghana and Nigeria using linear models might lead to spurious conclusions.

Keywords

Threshold Models Linearity Tests Self-exciting Threshold Autoregressive Model

Year 2016, Volume: 6 Issue: 3, 1194 - 1199, 01.05.2016

Emmanuel Numapau Gyamfi Kwabena A. Kyei

Abstract

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Details

Other ID JA58ND88SZ
Journal Section Research Article
Authors

Emmanuel Numapau Gyamfi This is me

Kwabena A. Kyei This is me

Publication Date May 1, 2016
Published in Issue Year 2016 Volume: 6 Issue: 3

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APA Gyamfi, E. N., & Kyei, K. A. (2016). Modeling Stock Market Returns under Self-exciting Threshold Autoregressive Model: Evidence from West Africa. International Journal of Economics and Financial Issues, 6(3), 1194-1199.
AMA Gyamfi EN, Kyei KA. Modeling Stock Market Returns under Self-exciting Threshold Autoregressive Model: Evidence from West Africa. IJEFI. May 2016;6(3):1194-1199.
Chicago Gyamfi, Emmanuel Numapau, and Kwabena A. Kyei. “Modeling Stock Market Returns under Self-Exciting Threshold Autoregressive Model: Evidence from West Africa”. International Journal of Economics and Financial Issues 6, no. 3 (May 2016): 1194-99.
EndNote Gyamfi EN, Kyei KA (May 1, 2016) Modeling Stock Market Returns under Self-exciting Threshold Autoregressive Model: Evidence from West Africa. International Journal of Economics and Financial Issues 6 3 1194–1199.
IEEE E. N. Gyamfi and K. A. Kyei, “Modeling Stock Market Returns under Self-exciting Threshold Autoregressive Model: Evidence from West Africa”, IJEFI, vol. 6, no. 3, pp. 1194–1199, 2016.
ISNAD Gyamfi, Emmanuel Numapau - Kyei, Kwabena A. “Modeling Stock Market Returns under Self-Exciting Threshold Autoregressive Model: Evidence from West Africa”. International Journal of Economics and Financial Issues 6/3 (May 2016), 1194-1199.
JAMA Gyamfi EN, Kyei KA. Modeling Stock Market Returns under Self-exciting Threshold Autoregressive Model: Evidence from West Africa. IJEFI. 2016;6:1194–1199.
MLA Gyamfi, Emmanuel Numapau and Kwabena A. Kyei. “Modeling Stock Market Returns under Self-Exciting Threshold Autoregressive Model: Evidence from West Africa”. International Journal of Economics and Financial Issues, vol. 6, no. 3, 2016, pp. 1194-9.
Vancouver Gyamfi EN, Kyei KA. Modeling Stock Market Returns under Self-exciting Threshold Autoregressive Model: Evidence from West Africa. IJEFI. 2016;6(3):1194-9.