Commodity-driven integration of stock markets in Africa
(English)In: Applied Economics Letters, ISSN 1350-4851, E-ISSN 1466-4291Article in journal, Letter (Refereed) Epub ahead of print
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.
IdentifiersURN: urn:nbn:se:su:diva-133905DOI: 10.1080/13504851.2016.1229402OAI: oai:DiVA.org:su-133905DiVA: diva2:972597