EN
Modeling Stock Market Returns under Self-exciting Threshold Autoregressive Model: Evidence from West Africa
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
Ayrıntılar
Birincil Dil
İngilizce
Konular
-
Bölüm
-
Yayımlanma Tarihi
1 Mayıs 2016
Gönderilme Tarihi
1 Mayıs 2016
Kabul Tarihi
-
Yayımlandığı Sayı
Yıl 2016 Cilt: 6 Sayı: 3
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. https://izlik.org/JA92WC25ES
AMA
1.Gyamfi EN, Kyei KA. Modeling Stock Market Returns under Self-exciting Threshold Autoregressive Model: Evidence from West Africa. IJEFI. 2016;6(3):1194-1199. https://izlik.org/JA92WC25ES
Chicago
Gyamfi, Emmanuel Numapau, ve Kwabena A. Kyei. 2016. “Modeling Stock Market Returns under Self-exciting Threshold Autoregressive Model: Evidence from West Africa”. International Journal of Economics and Financial Issues 6 (3): 1194-99. https://izlik.org/JA92WC25ES.
EndNote
Gyamfi EN, Kyei KA (01 Mayıs 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
[1]E. N. Gyamfi ve K. A. Kyei, “Modeling Stock Market Returns under Self-exciting Threshold Autoregressive Model: Evidence from West Africa”, IJEFI, c. 6, sy 3, ss. 1194–1199, May. 2016, [çevrimiçi]. Erişim adresi: https://izlik.org/JA92WC25ES
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 (01 Mayıs 2016): 1194-1199. https://izlik.org/JA92WC25ES.
JAMA
1.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, ve Kwabena A. Kyei. “Modeling Stock Market Returns under Self-exciting Threshold Autoregressive Model: Evidence from West Africa”. International Journal of Economics and Financial Issues, c. 6, sy 3, Mayıs 2016, ss. 1194-9, https://izlik.org/JA92WC25ES.
Vancouver
1.Emmanuel Numapau Gyamfi, Kwabena A. Kyei. Modeling Stock Market Returns under Self-exciting Threshold Autoregressive Model: Evidence from West Africa. IJEFI [Internet]. 01 Mayıs 2016;6(3):1194-9. Erişim adresi: https://izlik.org/JA92WC25ES