01896nam a22001577a 4500 517681 517681 210724b ||||| |||| 00| 0 eng d Emenike, Kalu O and Enock, Omweno N. 27950 How does news affect stock return volatility in a frontier market? Management and Labour Studies 45(4), Nov, 2020: p.433-443 Many empirical studies have analysed the effect of good news and bad news on equity market return volatility using both developed and emerging markets data, with scant literature for frontier stock markets. This study evaluates how news affects stock market return volatility in a frontier market using Uganda data. It specifically analyses the reaction of stock return volatility to news filtering into a frontier market using the exponential generalized autoregressive conditional heteroscedasticity (GARCH) model on daily data ranging from 1 September 2011 to 31 December 2017. Estimates of the shape parameter from generalized error distribution indicate the existence of leptokurtic return distribution. Results from the exponential GARCH model show that the effect of bad news and good news on the frontier market return volatility differs, thus suggesting existence of leverage effect in the period studied. Overall results from the study suggest that positive news impacts stock market returns volatility more than negative news of the same magnitude. An important implication of our results is that investors, analysts, brokers and dealers should be conscious of the nature of news filtering into the stock market as such information might improve their expected volatility forecast. - Reproduced Bad news, E-GARCH model, Frontier market, Good news, Leptokurtosis, Leverage effect, Stock return volatility 25637 Management and Labour Studies EQUITY MARKET AR 0 0 ddc 0 0 391748 IIPA IIPA 2021-07-24 45(4), Nov, 2020: p.433-443 AR124941 2021-07-24 AR