分析非洲股票市场的理性泡沫:经济物理学频域估计和 DCC MGARCH 模型提供的证据

IF 2.1 Q2 ECONOMICS Economies Pub Date : 2024-08-22 DOI:10.3390/economies12080217
Adedoyin Isola Lawal, Ezeikel Oseni, Adel Ahmed, Hosam Alden Riyadh, Mosab I. Tabash, Dominic T. Abaver
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引用次数: 0

摘要

股票市场的运作是基于从不同来源收集到的信息做出的明智决策,其中包括不同的信念、战略和知识。本研究以八个非洲股票市场为重点,探讨了股票市场价格中理性泡沫的有效性:南非、尼日利亚、肯尼亚、埃及、摩洛哥、毛里求斯、加纳和博茨瓦纳。作者利用新开发的基于经济物理学的单位根检验和动态条件相关多元广义自回归条件异方差(DCC MGARCH)模型,分析了 1996 年至 2022 年的每日数据。我们的研究结果表明,这些市场在不同时期经历了泡沫,随后往往破裂。这些泡沫与重大的经济变化相吻合,表明股市行为与经济增长之间存在密切联系。例如,金融危机、政治动荡和全球经济衰退对这些市场的泡沫形成和破灭产生了重大影响。研究显示,监管变化和投资者情绪变化等特定市场事件也是导致泡沫出现的原因。研究提出了应对所研究市场泡沫的三个关键政策选择,包括加强监管框架以监测和缓解泡沫的形成,提高投资者的金融知识水平以促进知情决策,以及加强经济政策以稳定宏观经济状况并降低对外部冲击的脆弱性。通过实施这些措施,决策者可以加强市场稳定,促进非洲股票市场的可持续经济增长。
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Analysing Rational Bubbles in African Stock Markets: Evidence from Econophysics Frequency Domain Estimates and DCC MGARCH Model
The stock market operates on informed decisions based on information gathered from heterogeneous sources, encompassing diverse beliefs, strategies, and knowledge. This study examines the validity of rational bubbles in stock market prices, focusing on eight African stock markets: South Africa, Nigeria, Kenya, Egypt, Morocco, Mauritius, Ghana, and Botswana. Utilizing newly developed econophysics-based unit root tests and the Dynamic Conditional Correlation Multivariate Generalized Autoregressive Conditional Heteroskedasticity (DCC MGARCH) models, the authors analyzed daily data from 1996 to 2022. Our findings indicate that these markets experienced bubbles at various points, often followed by bursts. These bubbles coincided with significant economic changes, suggesting a strong link between stock market behavior and economic growth. For instance, financial crises, political instability, and global economic downturns significantly influenced bubble formation and bursts in these markets. The study reveals that market-specific events, such as regulatory changes and shifts in investor sentiment, also contributed to the occurrence of bubbles. Three key policy options are proposed to address bubbles in the studied markets including, enhancing regulatory frameworks to monitor and mitigate bubble formation, improving financial literacy among investors to promote informed decision-making, and strengthening economic policies to stabilize macroeconomic conditions and reduce vulnerability to external shocks. By implementing these measures, policymakers can enhance market stability and foster sustainable economic growth in African stock markets.
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来源期刊
Economies
Economies Economics, Econometrics and Finance-Economics, Econometrics and Finance (miscellaneous)
CiteScore
4.00
自引率
11.50%
发文量
271
审稿时长
11 weeks
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