Forthcoming and Online First Articles

American Journal of Finance and Accounting

American Journal of Finance and Accounting (AJFA)

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American J. of Finance and Accounting (1 paper in press)

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  • The Predictability, Volatility persistence, and Leverage Effects in stock market returns. A study of BRICS Stock Market Indices   Order a copy of this article
    by Bashir Ahmad Joo, Younis Ahmed Ghulam 
    Abstract: This study examines the phenomena of predictability, persistence in volatility, and leverage effect in the stock returns of BRICS nations. This paper also evaluates the distributions and asymmetric volatility models before modelling volatility. We apply SGARCH using normal, student-t, and skewed student-t distributions and stationarity tests to check the volatility persistence and predictability. The study also modelled GJR-GARCH, EGARCH, and APARCH under normal, student-t, and skewed student-t distributions to estimate the leverage effect. The SGARCH analysis and stationarity test results validated the presence of volatility persistence, and predictability. The results also indicated that -skewed student-t distribution’ is the best distribution for modelling both symmetric and asymmetric volatility models, and the GJR-GARCH model is the best for estimating the leverage effect. The findings of the GJR-GARCH model suggested significant leverage effects in Brazil, India, and Africa, with a relatively insignificant leverage effect in Russia and no leverage effect in China.
    Keywords: volatility clusters; predictability; volatility persistence; leverage effect; GARCH; GJR-GARCH; APARCH; EGARCH; investment decisions.
    DOI: 10.1504/AJFA.2023.10060784