Modelling equity risk and external dependence: A survey of four African Stock Markets

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dc.contributor.advisor Sigauke, Caston
dc.contributor.advisor Bere, Aphonce
dc.contributor.author Samuel, Richard Abayomi
dc.date 2019
dc.date.accessioned 2019-06-05T17:36:04Z
dc.date.available 2019-06-05T17:36:04Z
dc.date.issued 2019-05-18
dc.identifier.citation Samuel, Richard Abayomi (2019) Modelling equity risk and external dependence: A survey of four African Stock Markets, University of Venda, South Africa.<http://hdl.handle.net/11602/1356>.
dc.identifier.uri http://hdl.handle.net/11602/1356
dc.description Department of Statistics en_US
dc.description MSc (Statistics)
dc.description.abstract The ripple e ect of a stock market crash due to extremal dependence is a global issue with key attention and it is at the core of all modelling e orts in risk management. Two methods of extreme value theory (EVT) were used in this study to model equity risk and extremal dependence in the tails of stock market indices from four African emerging markets: South Africa, Nigeria, Kenya and Egypt. The rst is the \bivariate-threshold-excess model" and the second is the \point process approach". With regards to the univariate analysis, the rst nding in the study shows in descending hierarchy that volatility with persistence is highest in the South African market, followed by Egyptian market, then Nigerian market and lastly, the Kenyan equity market. In terms of risk hierarchy, the Egyptian EGX 30 market is the most risk-prone, followed by the South African JSE-ALSI market, then the Nigerian NIGALSH market and the least risky is the Kenyan NSE 20 market. It is therefore concluded that risk is not a brainchild of volatility in these markets. For the bivariate modelling, the extremal dependence ndings indicate that the African continent regional equity markets present a huge investment platform for investors and traders, and o er tremendous opportunity for portfolio diversi cation and investment synergies between markets. These synergistic opportunities are due to the markets being asymptotic (extremal) independent or (very) weak asymptotic dependent and negatively dependent. This outcome is consistent with the ndings of Alagidede (2008) who analysed these same markets using co-integration analysis. The bivariate-threshold-excess and point process models are appropriate for modelling the markets' risks. For modelling the extremal dependence however, given the same marginal threshold quantile, the point process has more access to the extreme observations due to its wider sphere of coverage than the bivariate-threshold-excess model. en_US
dc.description.sponsorship NRF en_US
dc.format.extent 1 online resource (xvii, 156 leaves:: illustrations)
dc.language.iso en en_US
dc.rights University of Venda
dc.subject Bivarate-threshold - excess model en_US
dc.subject Extreme value theory en_US
dc.subject Generalized Pareto distribution en_US
dc.subject Poison point process en_US
dc.subject Tail dependency en_US
dc.subject Volatility en_US
dc.subject.ddc 332.6426
dc.subject.lcsh Stock exchanges -- South Africa
dc.subject.lcsh Stock exchanges -- Egypt.
dc.subject.lcsh Stock exchanges -- Nigeria
dc.subject.lcsh Stock exchanges -- Kenya
dc.subject.lcsh Markets -- South Africa
dc.subject.lcsh Markets -- Nigeria
dc.subject.lcsh Markets -- Kenya
dc.subject.lcsh Efficient market theory
dc.subject.lcsh Speculation -- Sputh Africa
dc.subject.lcsh Speculation -- Egypt
dc.subject.lcsh Speculation Nigeria
dc.subject.lcsh Speculation - Kenya
dc.title Modelling equity risk and external dependence: A survey of four African Stock Markets en_US
dc.type Dissertation en_US

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