nep-afr New Economics Papers
on Africa
Issue of 2006‒06‒24
two papers chosen by
Suzanne McCoskey
Foreign Service Institute, US Department of State

  1. Calendar Anomalies in an Emerging African Market: Evidence from the Ghana Stock Exchange. By Paul Alagidede; Theodore Panagiotidis
  2. Remittances, Financial Development, and Growth By Paola Giuliano; Marta Ruiz-Arranz

  1. By: Paul Alagidede (Loughborough University); Theodore Panagiotidis (Loughborough University)
    Abstract: This paper investigates two calendar anomalies in an emerging African market. Both the day of the week and month of the year effects are examined for Ghana. The latter is an interesting case because i) it operates for only three days per week during the sample period and ii) the increased focus that African stock markets have received lately both from academics and practitioners. We employ rolling techniques to asses the affects of policy and institutional changes. This allows deviations from the linear paradigm. We finally employ non-linear models from the GARCH family in a rolling framework to investigate the role of asymmetries. Contrary to a January return pattern in most markets, an April effect is found for Ghana. The evidence also shows the presence of the day of the week effects with asymmetric volatility performing better than the benchmark linear estimates. This seasonality though disappears when only the latest information is used (time-varying asymmetric GARCH). Our approach provides a new framework for investigating this well-known puzzle in finance.
    Keywords: Calendar Anomalies, Non-Linearity, Market Efficiency, Asymmetric Volatility, Rolling windows.
    JEL: C22 C52 G10
    Date: 2006–06
  2. By: Paola Giuliano (International Monetary Fund and IZA Bonn); Marta Ruiz-Arranz (International Monetary Fund)
    Abstract: Despite the increasing importance of remittances in total international capital flows, the relationship between remittances and growth has not been adequately studied. This paper studies one of the links between remittances and growth, in particular how local financial sector development influences a country’s capacity to take advantage of remittances Using a newly-constructed dataset for remittances covering about 100 developing countries, we find that remittances boost growth in countries with less developed financial systems by providing an alternative way to finance investment and helping overcome liquidity constraints. The study also explores some common myths about remittances and suggests that they are predominantly profit-driven and mostly pro-cyclical.
    Keywords: remittances, financial development, growth
    JEL: F22 F43 O16
    Date: 2006–06

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