Sigauke, CastonBere, AphonceSamuel, Richard Abayomi2019-06-052019-06-052019-05-18Samuel, 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>.http://hdl.handle.net/11602/1356Department of StatisticsMSc (Statistics)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.1 online resource (xvii, 156 leaves:: illustrations)enUniversity of VendaBivarate-threshold - excess modelExtreme value theoryUCTDGeneralized Pareto distributionPoison point processTail dependencyVolatility332.6426Stock exchanges -- South AfricaStock exchanges -- Egypt.Stock exchanges -- NigeriaStock exchanges -- KenyaMarkets -- South AfricaMarkets -- NigeriaMarkets -- KenyaEfficient market theorySpeculation -- Sputh AfricaSpeculation -- EgyptSpeculation NigeriaSpeculation - KenyaDissertationSamuel 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/11602/1356Samuel, R. A. (2019). <i>Modelling equity risk and external dependence: A survey of four African Stock Markets</i>. (). . Retrieved from http://hdl.handle.net/11602/1356Samuel, Richard Abayomi. <i>"Modelling equity risk and external dependence: A survey of four African Stock Markets."</i> ., , 2019. http://hdl.handle.net/11602/1356TY - 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 -