Asymmetric Mean Reversion in Low Liquid Markets: Evidence from BRVM
Abstract
:1. Introduction
2. Model
3. Data and Summary Statistics
4. Estimation Results
4.1. Mean Reversion on the Overall Sample
4.2. Dynamics of Mean Reversion
5. Conclusions
Author Contributions
Funding
Acknowledgments
Conflicts of Interest
Appendix A. The BRVM Main Indices
Appendix B. Correlogram
BRVM C | BRVM 10 | |||||||
---|---|---|---|---|---|---|---|---|
Lag 1 | Lag 4 | Lag 5 | Lag 6 | Lag 1 | Lag 4 | Lag 5 | Lag 6 | |
LL | 11,255.22 | 11,243.42 | 11,276.25 | 11,277.33 | 10,495.79 | 10,490.59 | 10,493.63 | 10,531.81 |
AIC | −6.82 | −6.81 | −6.82 | −6.82 | −6.36 | −6.35 | −6.35 | −6.37 |
BIC | −6.80 | −6.77 | −6.79 | −6.78 | −6.34 | −6.32 | −6.31 | −6.33 |
SIC | −6.82 | −6.81 | −6.82 | −6.82 | −6.36 | −6.35 | −6.35 | −6.37 |
HQ | −6.81 | −6.79 | −6.81 | −6.81 | −6.35 | −6.34 | −6.34 | −6.36 |
Appendix C. Stationary Test
Lag | Type 1 | Type 2 | Type 3 | |||
---|---|---|---|---|---|---|
ADF | p-Value | ADF | p-Value | ADF | p-Value | |
BRVMC return | ||||||
0 | ||||||
1 | ||||||
2 | ||||||
3 | ||||||
4 | ||||||
5 | ||||||
6 | ||||||
7 | ||||||
8 | ||||||
BRVM10 return | ||||||
0 | ||||||
1 | ||||||
2 | ||||||
3 | ||||||
4 | ||||||
5 | ||||||
6 | ||||||
7 | ||||||
8 |
Appendix D. Dynamics of Half-Time
Appendix E. Dynamics of the Persistence Parameter in EGARCH
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1. | The markets studied in this paper are Egypt, Kenya, Zimbabwe, Morocco, Mauritius, Tunisia, Ghana, Namibia, Botswana and Côte d’Ivoire |
2. | It was the weak-form efficiency that was tested. |
3. | Appendix D provides the dynamics of the half-life for both BRVMC and BRVM10 indices using each of the four windows considered for each of the two schemes of rolling regression. In Appendix E, the dynamics of the persistence parameter (EGARCH coefficient) is plotted for both BRVMC and BRVM10 indices under the two schemes and for all four windows. The dynamics for all other coefficients of the models using the rolling regression under the two schemes and for all the windows are available upon request to the authors. |
Indices | N | Mean | St. Dev. | Min | Pctl(25) | Pctl(75) | Max |
---|---|---|---|---|---|---|---|
BRVMC returns | 3299 | ||||||
BRVM10 returns | 3299 |
BRVMC Return | BRVM10 Return | |||
---|---|---|---|---|
+ | − | + | − | |
2c | 426 | 356 | 409 | 373 |
3c | 232 | 176 | 214 | 179 |
4c | 117 | 101 | 103 | 89 |
5c | 62 | 64 | 64 | 49 |
6c | 42 | 33 | 45 | 28 |
7c | 22 | 20 | 28 | 21 |
8c | 15 | 12 | 19 | 11 |
9c | 11 | 6 | 11 | 6 |
10c | 9 | 2 | 7 | 1 |
11c | 5 | 1 | 4 | 0 |
12c | 4 | 1 | 4 | 0 |
13c | 3 | 0 | 2 | 0 |
14c | 3 | 0 | 2 | 0 |
15c | 1 | 0 | 0 | 0 |
16c | 1 | 0 | 0 | 0 |
BRVMC | BRVM10 | |||
---|---|---|---|---|
Criteria | ANAR | ANARMA | ANAR | ANARMA |
LL | ||||
AIC | ||||
BIC | ||||
HQ | ||||
SIC |
Parameters | BRVMC | BRVM10 |
---|---|---|
0.00 ** | −0.00 ** | |
0.98 *** | 0.91 *** | |
−0.93 *** | −0.87 *** | |
−0.12 *** | −0.19 *** | |
−0.87 *** | −2.88 ** | |
0.04 * | −0.01 | |
0.91 *** | 0.68 *** | |
0.23 *** | 0.26 *** | |
Half-life (h2l) | 7.05 days | 1.8 days |
Parameters | BRVMC | BRVM10 | ||||
---|---|---|---|---|---|---|
Model 1 | Model 2 | Model 3 | Model 1 | Model 2 | Model 3 | |
0.00 ** | 0.00 *** | −0.00 ** | 0.00 *** | |||
0.98 *** | −0.11 *** | −0.06 * | 0.91 *** | −0.14 * | ||
−0.93 *** | 0.04 *** | −0.87 *** | ||||
−0.12 *** | 0.17 * | −0.19 *** | ||||
−0.87 *** | −0.85 *** | −2.88 ** | −2.83 ** | −2.81 ** | ||
0.04 * | ||||||
0.91 *** | 0.91 *** | 0.91 *** | 0.68 *** | 0.69 *** | 0.69 *** | |
0.23 *** | 0.21 *** | 0.26 *** | 0.26 *** | 0.26 *** | ||
LL | 11,255.22 | 11,227.17 | 11,227.18 | 10,495.79 | 10,479.01 | 10,479.31 |
AIC | −6.82 | −6.80 | −6.80 | −6.36 | −6.35 | −6.35 |
BIC | −6.80 | −6.79 | −6.79 | −6.34 | −6.33 | −6.33 |
SIC | −6.82 | −6.80 | −6.80 | −6.36 | −6.35 | −6.35 |
HQ | −6.81 | −6.80 | −6.80 | −6.35 | −6.34 | −6.34 |
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Gbenro, N.; Moussa, R.K. Asymmetric Mean Reversion in Low Liquid Markets: Evidence from BRVM. J. Risk Financial Manag. 2019, 12, 38. https://doi.org/10.3390/jrfm12010038
Gbenro N, Moussa RK. Asymmetric Mean Reversion in Low Liquid Markets: Evidence from BRVM. Journal of Risk and Financial Management. 2019; 12(1):38. https://doi.org/10.3390/jrfm12010038
Chicago/Turabian StyleGbenro, Nathaniel, and Richard Kouamé Moussa. 2019. "Asymmetric Mean Reversion in Low Liquid Markets: Evidence from BRVM" Journal of Risk and Financial Management 12, no. 1: 38. https://doi.org/10.3390/jrfm12010038
APA StyleGbenro, N., & Moussa, R. K. (2019). Asymmetric Mean Reversion in Low Liquid Markets: Evidence from BRVM. Journal of Risk and Financial Management, 12(1), 38. https://doi.org/10.3390/jrfm12010038