n African Finance Journal - Stock market integration : a South African perspective
|Article Title||Stock market integration : a South African perspective|
|© Publisher:||AfricaGrowth Institute|
|Journal||African Finance Journal|
|Author||Alain Kabundi and Idriss Mouchili|
|Publication Date||Jan 2009|
|Pages||51 - 66|
|Keyword(s)||C51, G10 and G12|
This paper examines the level of integration of the South African stock index in the global equity market. The method used is the Dynamic Factor Model (DFM) proposed by Forni et al. (2005a). The DFM uses a large panel of stock returns to extract the world component, common to all series. We use a Capital Asset Price Model (CAPM) to assess the degree of integration for stock market. The results show a strong co-movement between South African equity market and emerging market economies. On the other hand, there is a moderate link with advanced economies.
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