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Commodity-driven integration of stock markets in Africa

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  • Jarkko Peltomäki
  • Michael Graham
  • Paul Alagidede

Abstract

This article examines stock market integration for commodity-dependent African countries. The analysis is carried out in two phases – first we adjust the respective national equity returns for changes in commodity prices and examine integration in the context of commodity-adjusted stock returns, and second we focus on integration associated with changes in commodity prices in a novel modelling framework. The results for this unexamined area of research are interesting: (a) African stock markets are not driven by more than one common component and (b) commodity-adjusted integration is significantly lower than nonadjusted integration. We discuss the implications of the results for index construction, modelling and diversification in the conclusions.

Suggested Citation

  • Jarkko Peltomäki & Michael Graham & Paul Alagidede, 2017. "Commodity-driven integration of stock markets in Africa," Applied Economics Letters, Taylor & Francis Journals, vol. 24(11), pages 784-789, June.
    • Handle: RePEc:taf:apeclt:v:24:y:2017:i:11:p:784-789
    DOI: 10.1080/13504851.2016.1229402
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    Cited by:

    1. Bonga-Bonga, Lumengo & Mabe, Queen Magadi, 2020. "How financially integrated are trading blocs in Africa?," The Quarterly Review of Economics and Finance, Elsevier, vol. 75(C), pages 84-94.
    2. Adeabah, David & Abakah, Emmanuel Joel Aikins & Tiwari, Aviral Kumar & Hammoudeh, Shawkat, 2023. "How far have we come and where should we go after 30+ years of research on Africa's emerging financial markets? A systematic review and a bibliometric network analysis," Emerging Markets Review, Elsevier, vol. 55(C).
    3. Michael Graham & Jussi Nikkinen & Jarkko Peltomäki, 2020. "Web-Based Investor Fear Gauge and Stock Market Volatility: An Emerging Market Perspective," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 19(2), pages 127-153, August.

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