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Integration and Volatility Spillovers in African Equity Markets: Evidence from Namibia and South Africa


  • Michael Humavindu
  • Christos Floros

    () (University of Portsmouth Business School)


This paper analyses returns and volatility on the Namibian and South African stock markets. We use daily closing indices of the Namibian Stock Exchange (NSX) and the Johannesburg Stock Exchange (JSE). The sample covers the period from January 4, 1999 to March 20, 2003. Our methodology has three main parts: (i) unit root tests, (ii) cointegration analysis and (iii) volatility modelling. The results show that both markets exhibit very low correlations, while there is no evidence of linear relationship between the markets. Furthermore, volatility analysis shows evidence of no spillover effects. Our results suggest that NSX is an attractive risk diversification tool for regional portfolio diversification in Southern Africa.

Suggested Citation

  • Michael Humavindu & Christos Floros, 2006. "Integration and Volatility Spillovers in African Equity Markets: Evidence from Namibia and South Africa," The African Finance Journal, Africagrowth Institute, vol. 8(2), pages 31-51.
  • Handle: RePEc:afj:journl:v:8:y:2006:i:2:p:31-51

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    Cited by:

    1. Koulakiotis, Athanasios & Babalos, Vassilios & Papasyriopoulos, Nicholas, 2016. "Financial crisis, liquidity and dynamic linkages between large and small stocks: Evidence from the Athens Stock Exchange," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 40(C), pages 46-62.
    2. Tinashe Harry Dumile Kambadza & Zivanemoyo Chinzara, 2012. "Returns Correlation Structure and Volatility Spillovers Among the Major African Stock Markets," Working Papers 305, Economic Research Southern Africa.
    3. Kuttu, Saint, 2014. "Return and volatility dynamics among four African equity markets: A multivariate VAR-EGARCH analysis," Global Finance Journal, Elsevier, vol. 25(1), pages 56-69.

    More about this item


    Financial Returns; Volatility; GARCH; Cointegration; NSX; JSE;

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets


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