Foreign exchange risk pricing and equity market segmentation in Africa
Odongo Kodongo and
Kalu Ojah ()
Journal of Banking & Finance, 2011, vol. 35, issue 9, 2295-2310
This work is the first to investigate simultaneously the occurrence of unconditional currency risk pricing and equity market segmentation in Africa's major stock markets. The multi-factor asset pricing theory provides the theoretical framework for our model. We find strong evidence suggesting that Africa's equity markets are partially segmented. However, we find insufficient evidence to reject the hypothesis that foreign exchange risk is not unconditionally priced in Africa's stock markets. This result is robust to alternative foreign exchange rate-adjusted return measures. These findings suggest that international investors can diversify into Africa's equity markets without worrying about unconditional risks associated with foreign exchange rate fluctuations.
Keywords: Foreign; exchange; risk; Africa's; equity; markets; Unconditional; multi-factor; asset; pricing; models; Market; segmentation (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (23) Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:35:y:2011:i:9:p:2295-2310
Access Statistics for this article
Journal of Banking & Finance is currently edited by Ike Mathur
More articles in Journal of Banking & Finance from Elsevier
Bibliographic data for series maintained by Nithya Sathishkumar ().