1887

n African Finance Journal - Evidence of segmentation among African equity markets

Volume 16, Issue 1
  • ISSN : 1605-9786
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Abstract

The study analyses whether there is long term comovement among the African daily stock market indices using bivariate and multivariate Johansen cointegration. Using the Vector Error Correction Model (VECM), we then examine the short run dynamics for the market portfolios where cointegration exists. We control for the 2007 - 2008 financial crisis. The results show that the African markets are generally segmented. The financial crisis seems to have strengthened the comovement among some of the markets. We outline the policy and investment implication of the findings.

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/content/finj/16/1/EJC156038
2014-01-01
2017-04-26

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