TY - JOUR
T1 - On the linkages between Africa's emerging equity markets and global markets
T2 - Evidence from fractional integration and cointegration
AU - Gil-Alana, Luis
AU - Carcel, Hector
AU - Abakah, Emmanuel Joel Aikins
N1 - Publisher Copyright:
© 2018 Africagrowth Institute
PY - 2018/12
Y1 - 2018/12
N2 - This paper uses fractional integration and cointegration for the period of January 2000–June 2018 to investigate the stochastic properties of the bilateral linkages between stock markets in Africa and selected international markets to establish if markets in Africa co-move with the rest of the world. Results from the univariate analysis show that there exists a high degree of persistence with orders of integration about 1 or higher than 1, implying that shocks to these stock markets have significant permanent effects. Concerning bivariate results and testing for cointegration, evidence of cointegration is found for Egypt and Kenya against the UK and the Europe Zone. There are some other cases where partial evidence of cointegration is found, though in general, in all cases, we observe that the degree of cointegration is very low, implying very long periods of convergence.
AB - This paper uses fractional integration and cointegration for the period of January 2000–June 2018 to investigate the stochastic properties of the bilateral linkages between stock markets in Africa and selected international markets to establish if markets in Africa co-move with the rest of the world. Results from the univariate analysis show that there exists a high degree of persistence with orders of integration about 1 or higher than 1, implying that shocks to these stock markets have significant permanent effects. Concerning bivariate results and testing for cointegration, evidence of cointegration is found for Egypt and Kenya against the UK and the Europe Zone. There are some other cases where partial evidence of cointegration is found, though in general, in all cases, we observe that the degree of cointegration is very low, implying very long periods of convergence.
KW - African stock markets
KW - Fractional cointegration
KW - Fractional integration
KW - Linkages
UR - http://www.scopus.com/inward/record.url?scp=85056616512&partnerID=8YFLogxK
U2 - 10.1016/j.rdf.2018.11.003
DO - 10.1016/j.rdf.2018.11.003
M3 - Article
AN - SCOPUS:85056616512
SN - 1879-9337
VL - 8
SP - 96
EP - 105
JO - Review of Development Finance
JF - Review of Development Finance
IS - 2
ER -