期刊名称：International Research Journal of Finance and Economics
印刷版ISSN：1450-2887
电子版ISSN：1450-2887
出版年度：2018
期号：170
页码：110-131
出版社：European Journals Inc.
摘要：We used dynamic conditional correlation of the generalised autoregressive conditional heteroscedasticity (DCC GARCH) analytical technique to examine the evolving co-movements of Africa’s stock markets and the world stock market. We analysed the time-varying nature of the correlations of 11 of Africa’s leading stock markets with the world stock market using weekly stock price data covering the period 4 January 2002 – 26 December 2014. The results largely point to lower intra-regional and inter-regional co-movements amongst African stock markets, although the relative strengths differ across markets and regions. The findings further suggest evidence of greater co-movements at varying degrees between the only African emerging markets of South Africa, Egypt, and Morocco as well as most stock markets in Southern Africa and the world stock market. We conclude that co-movements between stock markets in African and the world stock market are time-varying. An important implication of the findings in this study is that potential international and regional diversification advantages still exist in Africa’s emerging and frontier markets, but vary considerable over time.
