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Asymmetric Mean Reversion in Low Liquid Markets: Evidence from BRVM

; this is the title of the Research paper for the 1st half of December.

This research paper was jointly authored by Professors Nathaniel GBENRO & Richard MOUSSA, who are both Lecturer-Researchers at ENSEA.

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”

Read more: https://www.mdpi.com/1911-8074/12/1/38