African stock markets integration: an analysis of the relationship between major stock markets in Africa
Izunna Anyikwa (),
Micheal Brookes () and
Pierre Le Roux ()
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Micheal Brookes: Hertfordshire Business School
Pierre Le Roux: Department of Economics, Nelson Mandela University
No 1812, Working Papers from Department of Economics, Nelson Mandela University
This paper examines the dynamic relationships between thirteen major stock markets in Africa in normal times and in times of financial crises using the Johansen cointegration and Granger causality methodologies. The empirical results revealed evidence of time-varying relationships among African stock markets. While the long-run relationships among the markets were strong prior to the 2007 global financial crisis (GFC) and during the Eurozone sovereign debt crisis (ESDC) periods, the relationships were severely weakened during the period of the GFC. The result also revealed a high degree of short-run dynamic causal relationships among African stock markets during both crises periods compared to the pre-crisis period.
Keywords: African stock markets; Cointegration; Financial crisis; Integration (search for similar items in EconPapers)
JEL-codes: C12 C13 C32 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-afr
Date: 2018-03, Revised 2018-03
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http://repec.mandela.ac.za/RePEc/mnd/wpaper/paper.1812.pdf First version, 2018 (application/pdf)
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Persistent link: https://EconPapers.repec.org/RePEc:mnd:wpaper:1812
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