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Efficiency of the Ghana Stock Exchange

Autor Joseph Wilson
en Limba Engleză Paperback – mar 2012
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.
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Specificații

ISBN-13: 9783848426850
ISBN-10: 3848426854
Pagini: 80
Dimensiuni: 152 x 229 x 5 mm
Greutate: 0.13 kg
Editura: LAP LAMBERT ACADEMIC PUBLISHING AG & CO KG
Colecția LAP Lambert Academic Publishing

Notă biografică

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.