Stock Market Integration: A South African Perspective

Alain Kabundi () and Idriss Mouchili ()
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Idriss Mouchili: University of Johannesburg

The African Finance Journal, 2009, vol. 11, issue 2, 51-66

Abstract: This paper examines the level of integration of the South African stock index in the global equity market. The method used is the Dynamic Factor Model (DFM) proposed by Forni et al. (2005a). The DFM uses a large panel of stock returns to extract the world component, common to all series. We use a Capital Asset Price Model (CAPM) to assess the degree of integration for stock market. The results show a strong co-movement between South African equity market and emerging market economies. On the other hand, there is a moderate link with advanced economies.

JEL-codes: C51 G10 G12 (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:afj:journl:v:11:y:2009:i:2:p:51-66

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