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African stock markets integration: an analysis of the relationship between major stock markets in Africa

Author

Listed:
  • Izunna Anyikwa

    () (Department of Economics, Nelson Mandela University)

  • Micheal Brookes

    () (Hertfordshire Business School)

  • Pierre Le Roux

    () (Department of Economics, Nelson Mandela University)

Abstract

This paper examines the dynamic relationships between thirteen major stock markets in Africa in normal times and in times of financial crises using the Johansen cointegration and Granger causality methodologies. The empirical results revealed evidence of time-varying relationships among African stock markets. While the long-run relationships among the markets were strong prior to the 2007 global financial crisis (GFC) and during the Eurozone sovereign debt crisis (ESDC) periods, the relationships were severely weakened during the period of the GFC. The result also revealed a high degree of short-run dynamic causal relationships among African stock markets during both crises periods compared to the pre-crisis period.

Suggested Citation

  • 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.
  • Handle: RePEc:mnd:wpaper:1812
    as

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    File URL: http://repec.mandela.ac.za/RePEc/mnd/wpaper/paper.1812.pdf
    File Function: First version, 2018
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    African stock markets; Cointegration; Financial crisis; Integration;

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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