Risk and return relationship in African stock exchanges

This study examines the relationship between risk and return in African stock mark exchanges. It specifically addresses the connection between risk and return by explaining the concept behind it and the trade-off investors and portfolio managers must make in their daily investment decisions. An African stock market is critical for market investment and can provide access to trading to achieve the shareholder's vision. Moreover, the African stock market is connected to various markets in the world. The African Stock Exchange usually sets and maintains various market levels and specific sector indicators. It also supports different levels of business as it is a place where people can buy and sell shares and securities. In this study, we have mentioned African stock exchanges as trading activities and infrastructure that can facilitate stock trading. The results of the study carried out on the returns of the stock market indices of four African countries, namely Egypt, Kenya, Morocco, and Tunisia. Data sets were collected daily from 5 April 2017 to 5 April 2021. According to the results of the Jarque Bera test performed within this framework, it can be said that the series is not suitable for normal distribution. The volatility of stock market returns for the countries covered in the study period was modeled using the GARCH-M model. the GARCH-M model is one of the most commonly used models to study the relationship between return and risk. The basic expectation here is that there is a positive relationship between risk and return, which automatically results an increase in risk and return. Keywords: Risk-return relationship, African stock market, African stock exchange GARCH-M