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

Listed author(s):
  • Boamah, Nicholas Addai
  • Loudon, Geoffrey
  • Watts, Edward J.
Registered author(s):

    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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    File URL: http://www.sciencedirect.com/science/article/pii/S1062976916000284
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    Article provided by Elsevier in its journal The Quarterly Review of Economics and Finance.

    Volume (Year): 63 (2017)
    Issue (Month): C ()
    Pages: 79-88

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    Handle: RePEc:eee:quaeco:v:63:y:2017:i:c:p:79-88
    DOI: 10.1016/j.qref.2016.03.002
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620167

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