An empirical note of global shocks on African and Middle Eastern equity markets 1997–2004

Kofi A. Amoateng

World Review of Entrepreneurship, Management and Sustainable Development, 2005, vol. 1, issue 2, 155-168

Abstract: Empirical evidence shows that South Africa's equity market is the safest and better global shock absorber than equity markets in Morocco, Nigeria, Egypt and Ghana. Global shocks to Zimbabwe's market are neither short-lived nor long-lived. On one hand, variance decomposition analysis identifies Bahraini, Israeli and Saudi markets as better global shock absorbers and on the other hand, the impulse response function shows that Israeli, Lebanese and Saudi markets are the better ones. Therefore, Israeli and Saudi equity markets are movers and shakers in Middle Eastern equity markets.

Keywords: cointegration; innovation accounting analysis; emerging equity markets; Africa; Middle East; African stock markets; global shock absorbers. (search for similar items in EconPapers)
Date: 2005
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