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: Suggested Citation