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Asymmetric Mean Reversion in Low Liquid Markets: Evidence from BRVM

Domain:

socioeconomic

Record type:

paper
Creator:
GbeMou
Editor:
EcoUni
Publisher:
CCSDMDPI
Host:avatar
International audience 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.

Visit

hal.science

Tags

rolling regressionasymmetrymean reversionhalf-lifestock market efficiencyJEL: C - Mathematical and Quantitative Methods/C.C5 - Econometric Modeling/C.C5.C58 - Financial EconometricsJEL: G - Financial Economics/G.G1 - General Financial Markets/G.G1.G14 - Information and Market Efficiency • Event Studies • Insider TradingJEL: G - Financial Economics/G.G1 - General Financial Markets/G.G1.G15 - International Financial Markets[QFIN.ST]Quantitative Finance [q-fin]/Statistical Finance [q-fin.ST][QFIN.GN]Quantitative Finance [q-fin]/General Finance [q-fin.GN]

Licenses

http://creativecommons.org/licenses/by/info:eu-repo/semantics/OpenAccess

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