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Structural breaks in the relative importance of country and industry factors in African stock returns

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  • Boamah, Nicholas Addai
  • Loudon, Geoffrey
  • Watts, Edward J.

Abstract

Risk sharing opportunities and international diversification benefits crucially depend on the relative importance of global and national factors. By decomposing the variance of African stock market index returns into global and country specific components, we show that national effects dominate. However, global effects have recently become more important and we identify that significant structural breaks occurred during the Global financial crisis (GFC). Also, the impact of the GFC on African markets was largely through the real sector.

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  • Boamah, Nicholas Addai & Loudon, Geoffrey & Watts, Edward J., 2017. "Structural breaks in the relative importance of country and industry factors in African stock returns," The Quarterly Review of Economics and Finance, Elsevier, vol. 63(C), pages 79-88.
    • Handle: RePEc:eee:quaeco:v:63:y:2017:i:c:p:79-88
    DOI: 10.1016/j.qref.2016.03.002
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    4. Sina Badreddine & Ephraim Clark, 2021. "The asymmetric effects of industry specific volatility in momentum returns," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 6444-6458, October.

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