{"id":7942,"date":"2025-03-10T01:25:17","date_gmt":"2025-03-10T00:25:17","guid":{"rendered":"https:\/\/360.ensea.ed.ci\/ensea-fortnight-paper-the-research-article-of-the-1st-fortnight-of-december\/"},"modified":"2025-04-16T11:32:38","modified_gmt":"2025-04-16T09:32:38","slug":"ensea-fortnight-paper-the-research-article-of-the-1st-fortnight-of-december","status":"publish","type":"post","link":"https:\/\/360.ensea.ed.ci\/en\/ensea-fortnight-paper-the-research-article-of-the-1st-fortnight-of-december\/","title":{"rendered":"ENSEA FORTNIGHT PAPER: The Research Article of the 1st fortnight of December"},"content":{"rendered":"\n<p>Researchers, PhD Professionals and Students in Statistics and Applied Economics, welcome to<strong>your new FORTHNIGHT PAPER section!<\/strong> Your window dedicated to the promotion of ENSEA research articles.<\/p>\n\n<h2 class=\"wp-block-heading\">Asymmetric Mean Reversion in Low Liquid Markets: Evidence from BRVM<strong><em>;<\/em><\/strong><\/h2>\n\n<p>This is the title of the Research article for the 1st fortnight of December.<\/p>\n\n<p><strong>This research paper was jointly written by Professors Nathaniel GBENRO &amp; Richard MOUSSA, <\/strong>both teaching and research staff at ENSEA Abidjan.<\/p>\n\n<p><strong>Abstract:  <\/strong><em>&#8220;This paper analyzes the mean reversion property on the West African Stock Market (in French, Bourse R\u00e9gionale des Valeurs Mobili\u00e8res 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&#8221;.       <\/em><\/p>\n\n<p>Read more: <a href=\"https:\/\/www.mdpi.com\/1911-8074\/12\/1\/38\" target=\"_blank\" rel=\"noreferrer noopener\">https:\/\/www.mdpi.com\/1911-8074\/12\/1\/38<\/a><\/p>\n\n<p><\/p>\n","protected":false},"excerpt":{"rendered":"<p>ENSEA FORTNIGHT PAPER: The Research Article of the 1st Fortnight of December.<br \/>\nResearchers, Professional Doctoral Students and Students in Statistics and Applied Economics,<\/p>\n","protected":false},"author":2,"featured_media":5178,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[78],"tags":[],"class_list":["post-7942","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-search"],"_links":{"self":[{"href":"https:\/\/360.ensea.ed.ci\/en\/wp-json\/wp\/v2\/posts\/7942","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/360.ensea.ed.ci\/en\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/360.ensea.ed.ci\/en\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/360.ensea.ed.ci\/en\/wp-json\/wp\/v2\/users\/2"}],"replies":[{"embeddable":true,"href":"https:\/\/360.ensea.ed.ci\/en\/wp-json\/wp\/v2\/comments?post=7942"}],"version-history":[{"count":1,"href":"https:\/\/360.ensea.ed.ci\/en\/wp-json\/wp\/v2\/posts\/7942\/revisions"}],"predecessor-version":[{"id":7945,"href":"https:\/\/360.ensea.ed.ci\/en\/wp-json\/wp\/v2\/posts\/7942\/revisions\/7945"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/360.ensea.ed.ci\/en\/wp-json\/wp\/v2\/media\/5178"}],"wp:attachment":[{"href":"https:\/\/360.ensea.ed.ci\/en\/wp-json\/wp\/v2\/media?parent=7942"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/360.ensea.ed.ci\/en\/wp-json\/wp\/v2\/categories?post=7942"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/360.ensea.ed.ci\/en\/wp-json\/wp\/v2\/tags?post=7942"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}