Asymmetric Mean Reversion in Low Liquid Markets: Evidence from BRVM Nathaniel Gbenro, Richard Kouamé Moussa To cite this version: Nathaniel Gbenro, Richard Kouamé Moussa. Asymmetric Mean Reversion in Low Liquid Markets: Evidence from BRVM. Journal of Risk and Financial Management, MDPI, 2019, Financial Time Series: Methods & Models), 12 (1), 10.3390/jrfm12010038. hal-02059799 HAL Id: hal-02059799 https://hal.archives-ouvertes.fr/hal-02059799 Submitted on 6 Mar 2019 HAL is a multi-disciplinary open access L’archive ouverte pluridisciplinaire HAL, est archive for the deposit and dissemination of sci- destinée au dépôt et à la diffusion de documents entific research documents, whether they are pub- scientifiques de niveau recherche, publiés ou non, lished or not. The documents may come from émanant des établissements d’enseignement et de teaching and research institutions in France or recherche français ou étrangers, des laboratoires abroad, or from public or private research centers. publics ou privés. Distributed under a Creative Commons Attribution| 4.0 International License Journal of Risk and Financial Management Article Asymmetric Mean Reversion in Low Liquid Markets: Evidence from BRVM Nathaniel Gbenro 1,2 and Richard Kouamé Moussa 2,* 1 Department of Economics, (Thema) University Cergy-Pontoise, 95011 Cergy-Pontoise, France;
[email protected] 2 Ecole Nationale Supérieure de Statistique et d’Economie Appliquée, Abidjan 08, Côte d’Ivoire * Correspondence:
[email protected] Received: 31 December 2018; Accepted: 4 March 2019; Published: 6 March 2019 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.