A1 Journal article (refereed), original research

Market Integration, Return and Volatility Dynamics: Empirical Evidence from African Stock Markets

Open Access publication

Publication Details
Authors: Saleem Kashif, Collan Mikael, Ahmed Sheraz, Gyasi Antwi Kofi
Publisher: Canadian Center of Science and Education (CCSE)
Publication year: 2014
Language: English
Related Journal or Series Information: International Business Research
Volume number: 7
Issue number: 9
Start page: 30
End page: 44
Number of pages: 15
ISSN: 1913-9004
eISSN: 1913-9012
JUFO-Level of this publication: 1
Open Access: Open Access publication

This study examines the extent of integration of liberalized African equity markets with the US, the world, the BRIC countries, and other emerging markets. Specifically, we examine the relationship between seven African markets, namely those of Kenya, South Africa, Mauritius, Tunisia, Egypt, Zambia, and Morocco with the World market index and the US market index. In addition, the relationship between the African markets and the BRIC countries, and the Emerging Market Index is analyzed. We investigate, whether there are pure contagion effects in the markets under consideration during the (US) financial crisis of 2008. A bivariate VAR–GARCH–BEKK model is used in the analysis. Our empirical findings support the notion that these markets are still green for investment and provide portfolio benefits. Diversification benefits with African stock markets are dwindling over the years, but these benefits do not disappear entirely. Furthermore, the increased correlations between the African and the developed markets are still small, in comparison with correlations found between developed markets

Last updated on 2017-06-06 at 17:39