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Commodity-driven integration of stock markets in Africa
Stockholm University.ORCID iD: 0000-0003-3378-7543
Stockholm University.
Wits Business School, University of the Witwatersrand.
(English)In: Applied Economics Letters, ISSN 1350-4851, E-ISSN 1466-4291Article in journal, Letter (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.

National Category
Business Administration
URN: urn:nbn:se:su:diva-133905DOI: 10.1080/13504851.2016.1229402OAI: diva2:972597
Available from: 2016-09-21 Created: 2016-09-21 Last updated: 2016-09-21

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Peltomäki, Jarkko
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