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

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dc.contributor.advisorSigauke, Caston
dc.contributor.advisorBere, Aphonce
dc.contributor.authorSamuel, Richard Abayomi
dc.date2019
dc.date.accessioned2019-06-05T17:36:04Z
dc.date.available2019-06-05T17:36:04Z
dc.date.issued2019-05-18
dc.descriptionDepartment of Statisticsen_US
dc.descriptionMSc (Statistics)
dc.description.abstractThe 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.sponsorshipNRFen_US
dc.format.extent1 online resource (xvii, 156 leaves:: illustrations)
dc.identifier.apacitationSamuel, R. A. (2019). <i>Modelling equity risk and external dependence: A survey of four African Stock Markets</i>. (). . Retrieved from http://hdl.handle.net/11602/1356en_ZA
dc.identifier.chicagocitationSamuel, Richard Abayomi. <i>"Modelling equity risk and external dependence: A survey of four African Stock Markets."</i> ., , 2019. http://hdl.handle.net/11602/1356en_ZA
dc.identifier.citationSamuel, 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.ris TY - Dissertation AU - Samuel, Richard Abayomi AB - 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. DA - 2019-05-18 DB - ResearchSpace DP - Univen KW - Bivarate-threshold - excess model KW - Extreme value theory KW - Generalized Pareto distribution KW - Poison point process KW - Tail dependency KW - Volatility LK - https://univendspace.univen.ac.za PY - 2019 T1 - Modelling equity risk and external dependence: A survey of four African Stock Markets TI - Modelling equity risk and external dependence: A survey of four African Stock Markets UR - http://hdl.handle.net/11602/1356 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11602/1356
dc.identifier.vancouvercitationSamuel RA. Modelling equity risk and external dependence: A survey of four African Stock Markets. []. , 2019 [cited yyyy month dd]. Available from: http://hdl.handle.net/11602/1356en_ZA
dc.language.isoenen_US
dc.rightsUniversity of Venda
dc.subjectBivarate-threshold - excess modelen_US
dc.subjectExtreme value theoryen_US
dc.subjectGeneralized Pareto distributionen_US
dc.subjectPoison point processen_US
dc.subjectTail dependencyen_US
dc.subjectVolatilityen_US
dc.subject.ddc332.6426
dc.subject.lcshStock exchanges -- South Africa
dc.subject.lcshStock exchanges -- Egypt.
dc.subject.lcshStock exchanges -- Nigeria
dc.subject.lcshStock exchanges -- Kenya
dc.subject.lcshMarkets -- South Africa
dc.subject.lcshMarkets -- Nigeria
dc.subject.lcshMarkets -- Kenya
dc.subject.lcshEfficient market theory
dc.subject.lcshSpeculation -- Sputh Africa
dc.subject.lcshSpeculation -- Egypt
dc.subject.lcshSpeculation Nigeria
dc.subject.lcshSpeculation - Kenya
dc.titleModelling equity risk and external dependence: A survey of four African Stock Marketsen_US
dc.typeDissertationen_US
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