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Dynamic relationship between trading volume, returns and returns volatility: an empirical investigation on the main African’s stock markets

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Abstract

In this empirical investigation, we examine the relationship between trading volume, return and volatility for eleven African Stock Exchanges. This study covers the period from September 24, 2010 to September 24, 2020, i.e., a total of 3037 daily observations per country. The relationship between trading volume and return is examined using the Granger causality test. For the relationship between trading volume and returns volatility, we use an asymmetric EGARCH (1, 1) model. The results indicate that returns do not cause volume while volume causes return in some countries’ Stock Exchanges. Regarding the volatility of the daily return, the study shows on the one hand that the persistence in the volatility is low and the trading volume increases this persistence on the majority of Stock Exchanges. On the other hand, lag trading volume affects the daily volatility of the markets.

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Source: by authors based on African Market database

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Notes

  1. African Markets is a provider of financial market data, news, analysis and research with a focus on Africa. The platform is entirely dedicated to African stock markets with the added functionality of access to historical data that include share price, market performances, trade volume and daily news.

  2. Ratio of the index price one period to the index price of the previous period.

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Acknowledgements

The authors are grateful to the editor of the Journal of Asset Management and the anonymous referees for their extremely useful suggestions to improve the quality of this article.

Funding

This research did not receive any specific grant from funding agencies in the public, commercial, or not-for-profit sectors.

Author information

Authors and Affiliations

  1. Department of Economics and Management, University Thomas SANKARA (UTS), 12 BP 417, Ouagadougou 12, Burkina Faso

    Daouda Lawa tan Toe & Salifou Ouedraogo

Authors
  1. Daouda Lawa tan Toe
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  2. Salifou Ouedraogo
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Correspondence to Daouda Lawa tan Toe.

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Appendix: Information on African’s stock markets

Appendix: Information on African’s stock markets

Economy

Exchange

Location

Founded

Listings

Abbreviation

Algeria

Algiers Stock Exchange

Algiers

1997

5

SGBV

Angola

Angola Debt and Stock Exchange

Luanda

2016

 

Bodiva

Botswana

Botswana Stock Exchange

Gaborone

1989

44

BSE

Cameroon

Douala Stock Exchange

Douala

2001

2

DSX

Cape Verde

Bolsa de Valores de Cabo Verde

Praia

1998

 

BVC

Egypt

Egyptian Exchange

Cairo, Alexandria

1883

265

EGX

Gabon

Bourse des Valeurs Mobilières de l’Afrique Centrale

Libreville

2003

 

BVMAC

Ghana

Ghana Stock Exchange

Accra

1990

37

GSE

Ivory Coast

Bourse Régionale des Valeurs Mobilières

Abidjan

1998

39

BRVM

Kenya

Nairobi Securities Exchange

Nairobi

1954

64

NSE

Lesotho

Maseru Securities Exchange

Maseru

2016

 

MSM

Libya

Libyan Stock Market

Tripoli

2007

7

LSM

Malawi

Malawi Stock Exchange

Blantyre

1995

14

MSE

Mauritius

Stock Exchange of Mauritius

Port Louis

1988

170

SEM

Morocco

Casablanca Stock Exchange

Casablanca

1929

81

Casa SE

Mozambique

Bolsa de Valores de Mozambique

Maputo

1999

 

BVM

Namibia

Namibian Stock Exchange

Windhoek

1992

47

NSX

Nigeria

Abuja Securities and Commodities Exchange

Abuja

1998

 

ASCE

Nigerian Stock Exchange

Lagos

1960

223

NSE

Rwanda

Rwanda Stock Exchange

Kigali

2011

10

RSE

East Africa Exchange

Kigali

  

EAX

Seychelles

Merj Exchange Limited

Victoria

2012

48

MERJ

Somalia

Somali Stock Exchange

Mogadishu

2015

2

SSE

South Africa

JSE Limited

Johannesburg

1887

388

JSE

A2X Markets

Johannesburg

2017

40

A2X

ZAR X

Johannesburg

2016

7

ZARX

Equity Express Securities Exchange

Johannesburg

2017

 

EESE

Cape Town Stock Exchange

Cape Town

2017

9

CTSE

Sudan

Khartoum Stock Exchange

Khartoum

1994

54

KSE

Eswatini

Eswatini Stock Exchange

Mbabane

1990

10

ESE

Tanzania

Dar es Salaam Stock Exchange

Dar es Salaam

1998

25

DSE

Tunisia

Bourse de Tunis

Tunis

1969

56

BVMT

Uganda

Uganda Securities Exchange

Kampala

1997

17

USE

ALTX East Africa Exchange

Kampala

2013

3

ALTX

Zambia

Agricultural Commodities Exchange of Zambia

Lusaka

2007

 

ZAMACE

Lusaka Stock Exchange

Lusaka

1994

24

LuSE

Africa Digital Stock Exchange Ltd

Zambia

2018

5

ADSEL

Zimbabwe

Zimbabwe Stock Exchange

Harare

1948

64

ZSE

Victoria Falls Stock Exchange

Victoria Falls

2020

2

VFEX

Finsec

Harare

2019

1

FINSEC

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Toe, D.L.t., Ouedraogo, S. Dynamic relationship between trading volume, returns and returns volatility: an empirical investigation on the main African’s stock markets. J Asset Manag 23, 429–444 (2022). https://doi.org/10.1057/s41260-022-00274-0

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