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Investigating temporal variation in the global and regional integration of African stock markets

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

Abstract

Financial market integration has significant implications for risk sharing and diversification, cost of capital estimation, market efficiency, financial decisions, and macro-economic policy. By relying on a multifactor asset pricing framework, this paper examines the integration of 11 African Stock Markets (ASMs) relative to the world and emerging markets, as well as the impact of the Global Financial Crisis (GFC) on their degree integration. We provide evidence that world, emerging market and African market factors command a significant risk premium in African markets, and that the markets are partially integrated with the world market. The level of integration of the African markets has changed through time, and the GFC impacted their degree of integration with the world market.

Suggested Citation

  • Boamah, Nicholas Addai & Watts, Edward J. & Loudon, Geoffrey, 2016. "Investigating temporal variation in the global and regional integration of African stock markets," Journal of Multinational Financial Management, Elsevier, vol. 36(C), pages 103-118.
  • Handle: RePEc:eee:mulfin:v:36:y:2016:i:c:p:103-118
    DOI: 10.1016/j.mulfin.2016.06.001
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    Cited by:

    1. repec:eee:finlet:v:28:y:2019:i:c:p:137-147 is not listed on IDEAS
    2. Izunna Anyikwa & Micheal Brookes & Pierre Le Roux, 2018. "African stock markets integration: an analysis of the relationship between major stock markets in Africa," Working Papers 1812, Department of Economics, Nelson Mandela University, revised Mar 2018.
    3. Boamah, Nicholas Addai, 2017. "The dynamics of the relative global sector effects and contagion in emerging markets equity returns," Research in International Business and Finance, Elsevier, vol. 39(PA), pages 433-453.

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