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Commodity-driven integration of stock markets in Africa
Stockholm University, Faculty of Social Sciences, Stockholm Business School.ORCID iD: 0000-0003-3378-7543
Stockholm University, Faculty of Social Sciences, Stockholm Business School.
2017 (English)In: Applied Economics Letters, ISSN 1350-4851, E-ISSN 1466-4291, Vol. 24, no 11, 784-789 p.Article in journal (Refereed) Published
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.

Place, publisher, year, edition, pages
2017. Vol. 24, no 11, 784-789 p.
National Category
Business Administration
Identifiers
URN: urn:nbn:se:su:diva-133905DOI: 10.1080/13504851.2016.1229402ISI: 000399472400010OAI: oai:DiVA.org:su-133905DiVA: diva2:972597
Available from: 2016-09-21 Created: 2016-09-21 Last updated: 2017-06-14Bibliographically approved

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Peltomäki, JarkkoGraham, Michael
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