The economic determinants of comovement across African stock markets
Author
Source
Revue Algérien de Développement Économique
Issue
Vol. 9, Issue 1 (30 Jun. 2022), pp.377-396, 20 p.
Publisher
Publication Date
2022-06-30
Country of Publication
Algeria
No. of Pages
20
Main Subjects
Economy and Commerce
Banking and Financial Sciences
Topics
Abstract EN
The aim of this study is to investigate the economic forces behind African stock markets interdependence using the recent and high frequency data, which spans a large period from 2004 to 2014 this by following two steps.
first, we applied DCC-GARCH model to extract the dynamic conditional correlations between the selected markets, which are used as proxies measuring the stock markets interdependence.
second, we regress all the possible "time varying correlations" on potential economic variables, and then, estimate the regressions in two different ways, first as a pooled sample ; second, as a system of seemingly unrelated regression (SUR) analysis.
the results indicate the existence of trend toward more stock market interdependence as all possible pairs of stock markets interact significantly over time especially after the recent financial crisis.
this result is confirmed by the pooled regression and SUR analysis, which suggest positive coefficient of the time trend and the 2008-crisis's dummy variable.
the results of the pooled regression show that in addition to the contagion effect, a significant proportion (more than 36%) of the movement among stock markets could be explained by economic factors, as several variables are significantly associated with the evolution of stock market movement over time, some factors promote the interdependence some others depress it.
American Psychological Association (APA)
Guechari, Yasminah. 2022. The economic determinants of comovement across African stock markets. Revue Algérien de Développement Économique،Vol. 9, no. 1, pp.377-396.
https://search.emarefa.net/detail/BIM-1375889
Modern Language Association (MLA)
Guechari, Yasminah. The economic determinants of comovement across African stock markets. Revue Algérien de Développement Économique Vol. 9, no. 1 (Jun. 2022), pp.377-396.
https://search.emarefa.net/detail/BIM-1375889
American Medical Association (AMA)
Guechari, Yasminah. The economic determinants of comovement across African stock markets. Revue Algérien de Développement Économique. 2022. Vol. 9, no. 1, pp.377-396.
https://search.emarefa.net/detail/BIM-1375889
Data Type
Journal Articles
Language
English
Notes
Includes appendices : p. 389-394
Record ID
BIM-1375889