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Financial crisis and African stock market integration

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  • Z. Wang
  • J. Yang
  • D. A. Bessler

Abstract

This article examines long-run relationships and short-run dynamic causal linkages among the five largest emerging African stock markets and the US market, with particular attention to the 1997-1998 global emerging market crisis. In general, interdependence between the African markets and the influence of the US on these markets was limited during 1996-2002. There is evidence that both long-run relationships and short-run causal linkages between these markets were substantially weakened after the crisis.

Suggested Citation

  • Z. Wang & J. Yang & D. A. Bessler, 2003. "Financial crisis and African stock market integration," Applied Economics Letters, Taylor & Francis Journals, vol. 10(9), pages 527-533.
  • Handle: RePEc:taf:apeclt:v:10:y:2003:i:9:p:527-533
    DOI: 10.1080/1350485032000100198
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    References listed on IDEAS

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    Cited by:

    1. Xu, Haifeng & Hamori, Shigeyuki, 2012. "Dynamic linkages of stock prices between the BRICs and the United States: Effects of the 2008–09 financial crisis," Journal of Asian Economics, Elsevier, vol. 23(4), pages 344-352.
    2. Per-Ola Maneschiöld, 2006. "Integration Between the Baltic and International Stock Markets," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 42(6), pages 25-45, December.
    3. Gourène, Grakolet Arnold Zamereith & Mendy, Pierre, 2014. "Beginning an African Stock Markets Integration? A Wavelet Analysis," MPRA Paper 76048, University Library of Munich, Germany.
    4. Lee, Chingnun & Shie, Fu Shuen & Chang, Chiao Yi, 2012. "How close a relationship does a capital market have with other such markets? The case of Taiwan from the Asian financial crisis," Pacific-Basin Finance Journal, Elsevier, vol. 20(3), pages 349-362.
    5. repec:eee:quaeco:v:65:y:2017:i:c:p:88-96 is not listed on IDEAS
    6. Per-Ola Maneschiöld, 2006. "Integration Between the Baltic and International Stock Markets," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 42(6), pages 25-45, December.
    7. repec:kap:apfinm:v:25:y:2018:i:1:d:10.1007_s10690-018-9237-6 is not listed on IDEAS
    8. 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.
    9. Mensi, Walid & Hammoudeh, Shawkat & Nguyen, Duc Khuong & Kang, Sang Hoon, 2016. "Global financial crisis and spillover effects among the U.S. and BRICS stock markets," International Review of Economics & Finance, Elsevier, vol. 42(C), pages 257-276.
    10. Anil Sharma & Neha Seth, 2012. "Literature review of stock market integration: a global perspective," Qualitative Research in Financial Markets, Emerald Group Publishing, vol. 4(1), pages 84-122, April.
    11. 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.
    12. 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.
    13. Sam Agyei-Ampomah, 2011. "Stock market integration in Africa," Managerial Finance, Emerald Group Publishing, vol. 37(3), pages 242-256, February.
    14. Ulf Nielsson, 2007. "Interdependence of Nordic and Baltic Stock Markets," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, vol. 6(2), pages 9-28, January.
    15. Gourène, Grakolet Arnold Zamereith & Mendy, Pierre & Ake N'gbo, Gilbert Marie, 2017. "Multiple time-xcales analysis of global stock markets spillovers effects in African stock markets," MPRA Paper 77632, University Library of Munich, Germany.
    16. Hammoudeh, Shawkat & Kang, Sang Hoon & Mensi, Walid & Nguyen, Duc Khuong, 2014. "Dynamic global linkages of the BRICS stock markets with the U.S. and Europe under external crisis shocks: Implications for portfolio risk forecasting," MPRA Paper 73400, University Library of Munich, Germany, revised Mar 2016.
    17. Bonga-Bonga, Lumengo & Mabe, Queen Magadi, 2016. "How financially integrated are trading blocs in Africa?," MPRA Paper 75716, University Library of Munich, Germany.

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