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Journal Article
Interdependence of African Stock Markets
2020
Overview
The term of stock market interdependence represents a broad area of research in financial economics, which encompasses many aspects of the interrelationships across equity markets. the purpose of this study is to investigate this issue based on eight African stock markets, over an 11 years period from 2004 to 2014, which cover the recent global financial crisis. To this end, we analyzed the long- and short-run relationships among the stock markets by employing a multivariate cointegration framework, and VECM approach. The results show that, the African stock markets are interdependent in both regional and international level; this interdependence varies over time, as it is more pronounced in post-crisis period. The pricing securities in each market is determined by both local and global factors, as the change in asset price in each market is affected by lagged change in its own index in previous days as well as by the lagged change in the price index of other markets. The existence of such interdependence indicates that the potential for diversifying risk by investing in the African region is limited.
Publisher
جامعة محمد خيضر بسكرة - كلية العلوم الاقتصادية والعلوم التجارية وعلوم التسيير - مخبر مالية، بنوك وإدارة الأعمال
Subject
