Stock Market Integration: A South African Perspective
AbstractThis paper examines the level of integration of the South African stock index in the global equity market. The method used is the Dynamic Factor Model (DFM) proposed by Forni et al. (2005a). The DFM uses a large panel of stock returns to extract the world component, common to all series. We use a Capital Asset Price Model (CAPM) to assess the degree of integration for stock market. The results show a strong co-movement between South African equity market and emerging market economies. On the other hand, there is a moderate link with advanced economies.
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Bibliographic InfoArticle provided by Africagrowth Institute in its journal African Finance Journal.
Volume (Year): 11 (2009)
Issue (Month): 2 ()
Find related papers by JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
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