How are Africa's emerging stock markets related to advanced markets? Evidence from copulas
Jones Odei-Mensah () and
Paul Alagidede ()
No 624, Working Papers from Economic Research Southern Africa
This paper examines the dependence structure between two developed and four emerging African stock markets in a copula framework. Using daily data from January 2000 to April 2014, our empirical results show that dependence structure between African and international stocks varies overtime, but generally weak. There is asymmetric and weak tail dependence for all the countries, implying stock return co-movement varies in bearish and bullish markets and that the dependence is generally not strong in extreme market conditions. We also find that extreme downward stock price movements in the advanced markets do not have significant spillover effects on Africaâ€™s emerging stock markets
Keywords: Coupla; Quantile; Tail; dependence; Comovoment; African Stock Markets; Spillover (search for similar items in EconPapers)
JEL-codes: C32 F36 F37 G10 G11 G15 (search for similar items in EconPapers)
Pages: 24 pages
New Economics Papers: this item is included in nep-afr
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Journal Article: How are Africa's emerging stock markets related to advanced markets? Evidence from copulas (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:rza:wpaper:624
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