Integration and the Asymmetric Transmission of Volatility: A Study of Equity Markets in Sub-Saharan Africa

South African Journal of Economics, Vol. 73, No. 1

46 Pages Posted: 23 Jul 2008 Last revised: 4 Sep 2008

Date Written: July 20, 2008

Abstract

Considerable attention has been given to market integration and volatility transmission between national stock markets, although this has previously been confined to OECD countries or emerging markets in Latin America and Asia-Pacific. Using a new and comprehensive dataset, this paper finds evidence of volatility transmission between ten rival markets in SSA, noting that this volatility is intrinsically asymmetric. Extensive spillovers are found across these markets, some uni-directional and others bilateral. However, continued illiquidity, incomplete institutions and low levels of domestic participation indicate that an integrated financial community remains premature, and considerable regulatory reform and harmonisation will be necessary before this can be achieved

Keywords: Volatility transmission, African financial market integration

JEL Classification: G15, O55

Suggested Citation

Hearn, Bruce Allen, Integration and the Asymmetric Transmission of Volatility: A Study of Equity Markets in Sub-Saharan Africa (July 20, 2008). South African Journal of Economics, Vol. 73, No. 1. Available at SSRN: https://ssrn.com/abstract=1163775

Bruce Allen Hearn (Contact Author)

University of Southampton ( email )

University Rd.
Southampton SO17 1BJ, Hampshire SO17 1LP
United Kingdom

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