Effects of diamond price volatility on stock returns - Evidence from a developing economy
At a Glance
Section titled âAt a Glanceâ| Metadata | Details |
|---|---|
| Publication Date | 2020-08-23 |
| Journal | International Journal of Finance & Economics |
| Authors | Jean Marcelin Bosson Brou, Mbodja Mougoué, EugÚne Kouassi, Kebaabetswe Thulaganyo, Benjamin K. Acquah |
| Institutions | Université Félix Houphouët-Boigny, Wayne State University |
| Citations | 3 |
Abstract
Section titled âAbstractâAbstract High diamond price volatility can have significant impact on Botswanaâs diamondâdriven economy. The global economic crisis of 2008-2009 saw the local economy characterised by heightened commodity price uncertainty, falling stock prices and dwindling international demand for diamonds. In this paper we employ a number of techniques to analyse and assess the effect of diamond price volatility on stock returns in Botswana. Firstly, estimation of a Markov Switching model reveals that high volatility regimes in diamond prices have become more frequent and persistent since the recession. Secondly, a bivariate GARCHâinâMean VAR model is estimated and the results recognize that diamond price volatility has a positive and significant influence on stock returns in Botswana.
Tech Support
Section titled âTech SupportâOriginal Source
Section titled âOriginal SourceâReferences
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