Contagion and interdependence in African stock markets
| dc.contributor.author | Collins D. | |
| dc.contributor.author | Biekpe N. | |
| dc.date.accessioned | 2011-05-15T15:57:43Z | |
| dc.date.available | 2011-05-15T15:57:43Z | |
| dc.date.issued | 2003 | |
| dc.description.abstract | Events in emerging finacial markets during the past decade have given rise to a fevered debate about the role of global integration in capital markets. The Mexican peso crisis of 1994, the Asian crisis of 1997 and the subsequent Russian and Brazilian crises of 1998 have provided new data with which to examine the transmission of financial variable movements from one country to another. Are African markets caught up in the same web, or are they more dependent on co-movements with each other? At what stage of integration are the least developed of emerging markets, such as those in Africa? African markets, with the exception of South Africa, are relatively small compared to other emerging markets, with a lower volume of transactions and fewer listed companies. In addition, many have low foreign investment ceilings and few have American Depository Receipts or country funds. Given the low level of development in these markets, one might hypothesise that they would not be subject to contagion. But which countries are developed "enough" to be vulnerable to contagion and which are not? In this study we aim to test the extent of market integration by measuring the degree of contagion between African equity markets and global emerging equity markets. In section 1, definitions and methods of measuring contagion are reviewed. Section 2 discusses the methodology and data. Section 3 reviews results and section 4 concludes. | |
| dc.description.version | Article | |
| dc.identifier.citation | South African Journal of Economics | |
| dc.identifier.citation | 71 | |
| dc.identifier.citation | 1 | |
| dc.identifier.issn | 382280 | |
| dc.identifier.uri | http://hdl.handle.net/10019.1/10557 | |
| dc.subject | equity | |
| dc.subject | financial market | |
| dc.subject | market conditions | |
| dc.subject | stock market | |
| dc.subject | Africa | |
| dc.title | Contagion and interdependence in African stock markets | |
| dc.type | Article |