An Empirical Examination of the Inter-Linkages between African Stock Markets

22 Pages Posted: 4 Dec 2008

See all articles by Sam Agyei-Ampomah

Sam Agyei-Ampomah

Cranfield University - School of Management

Date Written: September 1, 2008

Abstract

This paper examines the nature and extent of inter-linkages between African stock markets and the relationships between these markets and that of the regional and global indices. We present evidence to show that African stock markets are still segmented from global markets. We also find evidence of time varying integration to the global market but the level integration rather diminishes over time. In addition, we find that a large part of the total volatility of the domestic index appears largely country-specific which can be diversified away by cross-country diversification.

Keywords: Equity market integration, emerging markets, Africa

JEL Classification: G11, G15

Suggested Citation

Agyei-Ampomah, Sam, An Empirical Examination of the Inter-Linkages between African Stock Markets (September 1, 2008). Available at SSRN: https://ssrn.com/abstract=1311325 or http://dx.doi.org/10.2139/ssrn.1311325

Sam Agyei-Ampomah (Contact Author)

Cranfield University - School of Management ( email )

Bedfordshire, MK43 0AL
United Kingdom
+441234754375 (Phone)

HOME PAGE: http://www.som.cranfield.ac.uk/som/p19638/People/Faculty/Academic-Faculty-Listing-A-Z/Dr-Sam-Agyei-A

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