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Evidence Of Segmentation Among African Equity Markets

Author

Listed:
  • Zivanemoyo Chinzara
  • Tinashe Harry Dumile Kambadza

    (United Nations Economic Commission for Africa)

Abstract

The study analyses whether there is long term comovement among the African daily stock market indices using bivariate and multivariate Johansen cointegration. Using the Vector Error Correction Model (VECM), we then examine the short run dynamics for the market portfolios where cointegration exists. We control for the 2007 – 2008 financial crisis. The results show that the African markets are generally segmented. The financial crisis seems to have strengthened the comovement among some of the markets. We outline the policy and investment implication of the findings.

Suggested Citation

  • Zivanemoyo Chinzara & Tinashe Harry Dumile Kambadza, 2014. "Evidence Of Segmentation Among African Equity Markets," The African Finance Journal, Africagrowth Institute, vol. 16(1), pages 19-38.
    • Handle: RePEc:afj:journl:v:16:y:2014:i:1:p:19-38
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    Cited by:

    1. Boako, Gideon & Alagidede, Paul, 2018. "African stock markets in the midst of the global financial crisis: Recoupling or decoupling?," Research in International Business and Finance, Elsevier, vol. 46(C), pages 166-180.
    2. Boako, Gideon & Alagidede, Paul, 2017. "Co-movement of Africa’s equity markets: Regional and global analysis in the frequency–time domains," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 468(C), pages 359-380.

    More about this item

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • F - International Economics

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