0128038403

9780128038406

0128037768

0128092009

0128094915

Print version cataloged as a monographic set.

Electronic reproduction. Amsterdam Available via World Wide Web.

Description based on online resource; title from digital title page (viewed on August 31, 2016).

Cover; Title page; Copyright page; Contents; List of Contributors; About the Editors; About the Contributors; Acknowledgment; Section A

Africa; Chapter 1

Testing for the Weak-Form Market Efficiency of the Dar es Salaam Stock Exchange ; 1

Introduction; 2

The Random Walk Theory and the Efficient Market Hypothesis; 3

Empirical Literature Review on Weak-Form Market Efficiency; 4

Data Sources; 5

Methodology; 5.1

Augmented Dickey-Fuller Test; 5.2

The Variance Ratio Test; 5.3

Ranks- and Signs-Based Variance Ratio Tests; 6

Analyses and Presentation of the Results

6.1

Descriptive Statistics and Diagnostics6.2

Augmented Dickey-Fuller Test Results; 6.3

Variance Ratio Test Results; 6.4

Ranks- and Signs-Based Variance Ratio Tests; 6.5

Summary of the Findings; 7

Conclusions and Recommendations; References; Chapter 2

Stock Returns and Inflation: The Case of Botswana ; 1

Introduction; 2

Literature Review; 3

Overview of the Economy of Botswana; 4

Data and Methodology; 4.1

Data; 4.2

Methodology; 5

Results; 6

Conclusions; References

Chapter 3

Modeling and Forecasting Stock Market Volatility in Frontier Markets: Evidence From Four European and Four A... 1

Introduction; 2

Background Information; 2.1

Importance of Volatility Forecastinga; 2.2

Emerging Markets or Country Samples; 2.3

Modeling of Volatility Forecasting; 3

Data; 4

Methodology; 4.1

ARCH Effects; 4.2

Generalized Autoregressive Conditional Heteroscedasticity�(GARCH); 4.3

Exponential GARCH (EGARCH); 4.4

Component GARCH (CGARCH); 4.5

Comparisons of Forecast Performance; 5

Findings and Discussions; 6

Conclusions and Further Research

2.1

Data Sources and Descriptive Statistics3

Hypotheses and Methodology; 3.1

Hypothesis 1; 3.2

Hypothesis 2; 3.3

Methodology; 3.4

Robustness Testing; 4

Results; 4.1

Robustness Tests; 5

Discussions; 5.1

Decision Fatigue in Africa; 5.2

Loss Aversion in Developed Markets; 6

Conclusions; References; Appendix 1: Time-Varying Correlations of US with African Markets; Appendix 2: Time-Varying Correlations of US with Developed Markets; Section B

Europe; Chapter 7

An Assessment of the Real Development Prospects of the EU 28 Frontier Equity Markets ; 1

Introduction

2

A Comparative Analysis of the EU 10 Frontier Markets

Investments, Foreign > Africa.

Investments > Africa.

Investments, Foreign > Europe.

Investments > Europe.

Investments, Foreign > Asia.

Investments > Asia.

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