Interdependence of African Stock Markets
Author
Source
Revue des Economies Financières Bancaires et de Management
Issue
Vol. 9, Issue 1 (30 Jun. 2020), pp.254-276, 23 p.
Publisher
Publication Date
2020-06-30
Country of Publication
Algeria
No. of Pages
23
Main Subjects
Economics & Business Administration
Topics
Abstract EN
The term of stock market interdependence represents a broad area of research in financial economics, which encompasses many aspects of the interrelationships across equity markets.
the purpose of this study is to investigate this issue based on eight African stock markets, over an 11 years period from 2004 to 2014, which cover the recent global financial crisis.
To this end, we analyzed the long- and short-run relationships among the stock markets by employing a multivariate cointegration framework, and VECM approach.
The results show that, the African stock markets are interdependent in both regional and international level; this interdependence varies over time, as it is more pronounced in post-crisis period.
The pricing securities in each market is determined by both local and global factors, as the change in asset price in each market is affected by lagged change in its own index in previous days as well as by the lagged change in the price index of other markets.
The existence of such interdependence indicates that the potential for diversifying risk by investing in the African region is limited.
American Psychological Association (APA)
Guechari, Yasminah. 2020. Interdependence of African Stock Markets. Revue des Economies Financières Bancaires et de Management،Vol. 9, no. 1, pp.254-276.
https://search.emarefa.net/detail/BIM-1027452
Modern Language Association (MLA)
Guechari, Yasminah. Interdependence of African Stock Markets. Revue des Economies Financières Bancaires et de Management Vol. 9, no. 1 (2020), pp.254-276.
https://search.emarefa.net/detail/BIM-1027452
American Medical Association (AMA)
Guechari, Yasminah. Interdependence of African Stock Markets. Revue des Economies Financières Bancaires et de Management. 2020. Vol. 9, no. 1, pp.254-276.
https://search.emarefa.net/detail/BIM-1027452
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references : p. 275-276
Record ID
BIM-1027452