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J. Risk Financial Manag. 2019, 12(1), 38; https://doi.org/10.3390/jrfm12010038

Asymmetric Mean Reversion in Low Liquid Markets: Evidence from BRVM

1
Department of Economics, (Thema) University Cergy-Pontoise, 95011 Cergy-Pontoise, France
2
Ecole Nationale Supérieure de Statistique et d’Economie Appliquée, Abidjan 08, Côte d’Ivoire
*
Author to whom correspondence should be addressed.
Received: 31 December 2018 / Revised: 28 February 2019 / Accepted: 4 March 2019 / Published: 6 March 2019
(This article belongs to the Special Issue Financial Time Series: Methods & Models)
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Abstract

This paper analyzes the mean reversion property on the west African stock market (in French, Bourse Régionale des Valeurs Mobilières BRVM). For this purpose, we use two daily indices: (i) the composite index (BRVMC) and (ii) the index of the 10 most liquid assets (BRVM10) collected from 3 January 2005 to 29 June 2018. We estimate an asymmetric nonlinear autoregressive model with an EGARCH innovation to account for heteroskedasticity. The results suggest the existence of a mean reversion property for both indices. The half-life time is 7 days for the composite index and 2 days for the BRVM 10 index. Furthermore, using a rolling regression technique, we show that the estimated half-life time declines slightly for the composite index. View Full-Text
Keywords: stock market efficiency; mean reversion; half-life; asymmetry; rolling regression stock market efficiency; mean reversion; half-life; asymmetry; rolling regression
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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.

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