Evaluating interdependencies in African markets A VECM approach

Konstantinos Vergos and Benjamin Wanger

Bulletin of Applied Economics, 2019, vol. 6, issue 1, 65-85

Abstract: This study evaluates the linkages between stock markets and macroeconomic data in the sub-Sahara Africa during the 2008 –2018 period by using VECM. Our findings confirm unidirectional and bidirectional causalities, and a long-run equilibrium between the indexes, the stock exchanges and their national economies. The contemporaneous sectoral infectivity surpasses the long-run responses. While the banking sector was found to lead markets and macroeconomic indices, Nigerian, Moroccan and Swaziland markets were found to be most weakly integrated. Our findings provide a unique evidence of interdependence between African peripheral markets that could be used in cross-hedging and speculative strategies in fund management.

Keywords: Asset pricing; Africa; interdependence; VECM (search for similar items in EconPapers)
JEL-codes: G12 (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:rmk:rmkbae:v:6:y:2019:i:1:p:65-85

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