All Markets are not Created Equal - Evidence from the Ghana Stock Exchange

Korkpoe, Carl H.; Amarteifio, Edward

dc.contributor.author	Korkpoe, Carl H.
dc.contributor.author	Amarteifio, Edward
dc.date.accessioned	2021-03-19T15:40:45Z
dc.date.available	2021-03-19T15:40:45Z
dc.date.issued	2018
dc.identifier.issn	2343-6891
dc.identifier.uri	http://hdl.handle.net/123456789/5082
dc.description	6P;ill	en_US
dc.description.abstract	We investigated the model fit for volatility of returns from the Ghana Stock Exchange All Share Index for the Bayesian versions of GARCH(1,1) with student-t innovations and stochastic volatility. We found evidence in favour of the GARCH(1,1) with student-t innovations against the recommendation from the developed equity markets of preference for stochastic volatility models. We are of the view that model fit has to do with the development stage of a particular market. Issues like thin and asynchronous trading influence the data generating process; hence, we view financial econometric models as suitable to data depending on whether the market is developed, emerging or frontier.	en_US
dc.language.iso	en	en_US
dc.publisher	University of Cape Coast	en_US
dc.subject	Stochastic volatility	en_US
dc.subject	GARCH(1,1)	en_US
dc.subject	Bayesian methodology	en_US
dc.title	All Markets are not Created Equal - Evidence from the Ghana Stock Exchange	en_US
dc.type	Article	en_US