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Efficiency of the Ghana Stock Exchange

Efficiency of the Ghana Stock Exchange - .
Book on DemandKartoniert, Paperback
80 Seiten
Englisch
LAP Lambert Academic Publishingerschienen am02.03.2012Aufl.
This book discusses efficiency of the Ghana Stock Exchange (GSE) to know whether the market has evolved towards some degree of efficiency (i.e. weak form efficiency). It uses daily frequency of the GSE All Share Index for the period of 1992-2004 and applies the Kalman Filter technique to a time-varying parameter model and general autoregressive conditional heteroskedasticity in mean (GARCH-M) of the residual structure. The results show that stock returns in the market exhibit both clustering and persistence in volatility. Also there is positive risk-premium in the market, however, this is not significant. This implies that the market does not price the conditional variance. The market is not weak form efficient for most of the period considered with the exception of the latter parts of 1997 and the early periods of 1999.mehr

Produkt

KlappentextThis book discusses efficiency of the Ghana Stock Exchange (GSE) to know whether the market has evolved towards some degree of efficiency (i.e. weak form efficiency). It uses daily frequency of the GSE All Share Index for the period of 1992-2004 and applies the Kalman Filter technique to a time-varying parameter model and general autoregressive conditional heteroskedasticity in mean (GARCH-M) of the residual structure. The results show that stock returns in the market exhibit both clustering and persistence in volatility. Also there is positive risk-premium in the market, however, this is not significant. This implies that the market does not price the conditional variance. The market is not weak form efficient for most of the period considered with the exception of the latter parts of 1997 and the early periods of 1999.
Details
ISBN/GTIN978-3-8484-2685-0
ProduktartBook on Demand
EinbandartKartoniert, Paperback
Erscheinungsjahr2012
Erscheinungsdatum02.03.2012
AuflageAufl.
Seiten80 Seiten
SpracheEnglisch
Artikel-Nr.15273112
Rubriken
GenreRecht

Autor

Joseph Wilson is the Research Officer of Ghana Employers' Association. He holds MPhil in Economics from the University of Ghana, Legon and B.Sc (Hons) Agriculture (Economics option) from Kwame Nkrumah University of Science and Technology.