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Commodity-driven integration of stock markets in Africa
Stockholm University.ORCID iD: 0000-0003-3378-7543
(English)In: Applied Economics Letters, ISSN 1350-4851, E-ISSN 1466-4291Article in journal (Refereed) Epub ahead of print
Abstract [en]

This article examines stock market integration for commodity-dependent African countries. The analysis is carried out in two phases – first we adjust the respective national equity returns for changes in commodity prices and examine integration in the context of commodity-adjusted stock returns, and second we focus on integration associated with changes in commodity prices in a novel modelling framework. The results for this unexamined area of research are interesting: (a) African stock markets are not driven by more than one common component and (b) commodity-adjusted integration is significantly lower than nonadjusted integration. We discuss the implications of the results for index construction, modelling and diversification in the conclusions.

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Business Administration
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URN: urn:nbn:se:su:diva-134811DOI: www.tandfonline.com/doi/full/10.1080/13504851.2016.1229402OAI: oai:DiVA.org:su-134811DiVA: diva2:1038780
Available from: 2016-10-19 Created: 2016-10-19 Last updated: 2016-10-19

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Peltomäki, Jarkko
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