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Stock market integration in Africa: Further evidence from an information‐theoretic framework

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  • Kingstone Nyakurukwa
  • Yudhvir Seetharam

Abstract

This study revisits stock market integration in Africa using an information‐theoretic framework that quantifies the flow of information between exchanges. We use daily return data for seven MSCI‐classified African stock exchanges between 2011 and 2021. As Bitcoin has become an important asset class on the African continent, we also explore whether this cryptocurrency confers any diversification benefits. Our method holds that stock markets are integrated if there is a significant flow of information between exchanges. The results reveal a statistically insignificant flow of information among African stock exchanges, and for the few cases in which information flow is statistically significant, the magnitudes are low. South Africa is the most influential stock market, as it transmits most of the total transfer entropy (informational value) in the system. We also observe that African stock exchanges are weakly integrated with Bitcoin.

Suggested Citation

  • Kingstone Nyakurukwa & Yudhvir Seetharam, 2023. "Stock market integration in Africa: Further evidence from an information‐theoretic framework," International Finance, Wiley Blackwell, vol. 26(1), pages 2-18, April.
    • Handle: RePEc:bla:intfin:v:26:y:2023:i:1:p:2-18
    DOI: 10.1111/infi.12419
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    References listed on IDEAS

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    5. Kumah, Seyram Pearl & Odei-Mensah, Jones, 2021. "Are Cryptocurrencies and African stock markets integrated?," The Quarterly Review of Economics and Finance, Elsevier, vol. 81(C), pages 330-341.
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