Price Integration between Europe and Regional Markets in Africa: A Test of the Law of One Price

Jenifer Piesse () and Bruce Allen Hearn ()
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Jenifer Piesse: Management Centre School of Social Science and Public Policy - King‘s College London
Bruce Allen Hearn: Management - University of Leicester

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Abstract: This study examines the degree of price-integration of equity index assets between the major markets of Africa, namely Morocco, Tunisia, Egypt, Kenya, Nigeria, Namibia and South Africa with the prominent European markets of London and Paris. The application of Vector Autoregressive and Autoregressive Distributed Lag methods reveals that African markets are largely price-segmented. The only markets that are price-integrated have shared economic and financial institutions such as Namibia and South Africa, and Egypt, Tunisia and France. The evidence suggests that development policy should be focussed on enhancing existing institutions rather than embarking prematurely on regional integration.

Keywords: Social; Sciences; &; Humanities (search for similar items in EconPapers)
Date: 2011-06-25
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Published in Applied Economics, 2011, ⟨10.1080/00036846.2011.570722⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00711449

DOI: 10.1080/00036846.2011.570722

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