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An Empirical Analysis of Stock Markets Integration in Selected African Countries


Author Info

  • Solarin Sakiru Adebola

    (Faculty of Business and Law, Multimedia University Malaysia)

  • Jauhari Dahalan

    (School of Economics, Finance and Banking, Universiti Utara Malaysia)


This study employs cointegration technique to determine the co-movement of ten national stock markets indexes in Africa. Using monthly indexes spanning February, 1997 to October, 2011, results demonstrate less than full cointegrating vectors, which suggest African stock markets are not fully integrated. Further findings indicate that big African stock markets indexes tend to influence fluctuations in small African markets indexes. Generally, these imply limited benefits accrue from portfolio diversification within African stock markets.

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Bibliographic Info

Article provided by Danubius University of Galati in its journal Euroeconomica.

Volume (Year): (2012)
Issue (Month): 2(31) (May)
Pages: 166-177

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Handle: RePEc:dug:journl:y:2012:i:2:p:166-177

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Keywords: financial markets; co-movement; unit roots tests; cointegration test;


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