Contagion and Interdependence in African Stock Markets

Collins, Daryl; Biekpe, Nicholas

doi:10.1111/j.1813-6982.2003.tb00077.x

Cited by 55 publications

(44 citation statements)

References 17 publications

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“…Regarding the first hypothesis of no contagion, the results are consistent with the literature and indicate that heteroskedasticity in market returns biases tests for contagion based on correlation, e.g. [Collins, Biekpe, 2003b;Ahmadu-Bello, Rodgers, 2012] for African markets. As for the second hypothesis of no integration effect, the results revealed that the African markets in general, with the exception of South Africa, are rather weakly connected with global capital flows.…”

Section: Resultssupporting

confidence: 78%

“…The events in Tunisia began on December 18, 2010. contagion, applying both a standard contemporaneous cross-market correlations and volatility-adjusted correlation coefficients proposed by Forbes and Rigobon [2002]. The similar approach was employed by Collins and Biekpe [2003b], but they measured contagion among African markets during the 1997 Asian crisis. The second hypothesis says that there was no integration effect between the six African stock markets and the equity markets of the U.S. and U.K., during the GFC.…”

Section: Introductionmentioning

confidence: 99%

See 1 more Smart Citation

Crisis Periods, Contagion and Integration Effects in the Major African Equity Markets During the 2007-2009 Global Financial Crisis

Labuschagne¹,

Majewska²,

Olbryś³

2016

Optimum

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SummaryA number of studies assert that during critical events cross-market correlations change substantially. The main focus of this paper is to explicitly test two research hypotheses concerning the effect of increasing cross-market correlations in the 2007-2009 Global Financial Crisis (GFC) compared to the pre-crisis period. These hypotheses state that there was no contagion and no integration effects among the U.S., the U.K., and selected African stock markets (South Africa, Namibia, Egypt, Nigeria, Morocco and Kenya) during the GFC. The crisis periods are formally detected using a statistical method of dividing market states into bullish and bearish markets. The sample period begins in January 2003 and ends in December 2013, and it includes the 2007 U.S. subprime crisis. Obtained results indicate that there is no reason to reject both research hypotheses. Moreover, the results confirm a heterogeneity of the African equity markets in the context of the influence of the recent global crisis.

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Section: Resultssupporting

confidence: 78%

Section: Introductionmentioning

confidence: 99%

Crisis Periods, Contagion and Integration Effects in the Major African Equity Markets During the 2007-2009 Global Financial Crisis

Labuschagne¹,

Majewska²,

Olbryś³

2016

Optimum

View full text Add to dashboard Cite

show abstract

“…All these studies confirm short term return predictabilities and violations of weak form market efficiency. Collins and Biekpe (2003) also use changes in correlations following the Asian crisis in 1997 to examine the interdependencies of African markets. They find that interdependencies in African stock markets fall into regional blocks and that, with the exception of South Africa and Egypt, the evidence does not support integration with global emerging markets.…”

Section: Introductionmentioning

confidence: 99%

Stock market integration in Africa

Agyei‐Ampomah

2011

Managerial Finance

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Purpose: The purpose of this paper is to examine the nature and extent of linkages between African stock markets and the relationships between these markets and that of regional and global indices. Findings:We find that African stock markets are still segmented from global markets in spite of recent structural adjustments and that the local index volatility is largely country-specific which can be diversified away by cross-country diversification.Originality/value: This paper provides further evidence on stock market integration in emerging markets. The finding suggests that African stock markets, with the exception of South Africa, are still segmented from global markets. Thus, recent structural adjustment and liberalisation policies have not reduced stock market segmentation in Africa. This paper therefore has implications for policy makers and international investors.

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“…Although Collins and Biekpe (2003) investigated the possibility of contagion from the 1997 Asian crisis on African economies, including South Africa, no attempt has yet been made to investigate at macro level the degree to which international financial crises influence the South African equity market, in terms of price and volatility transmission. The possibility of changes in the nature of price and volatility transmission before, during, and after a financial crisis has occurred, have also not yet been investigated.…”

Section: Introductionmentioning

confidence: 99%

Measuring spill-over effects of foreign markets on the JSE before, during and after international financial crises

Heymans

Camara

2013

SAJEMS

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There is a large body of research that proves the co-movement of international stock markets over time. This co-movement manifests through various instruments ranging from stocks and bonds, to soft commodities and can be visualised as returns and volatility spill-over effects. During the most recent financial crisis, it was once again highlighted that no market is immune to spill-over effects from other international markets. By employing an aggregate-shock (AS) model, returns and volatility spill-over effects of the Hang Seng, London, Paris, Frankfurt and New York stock markets to the JSE are confirmed. The findings also confirm the JSE All share index is directly affected through contagion by the returns of the economic area where the crisis originates. However, the results further confirm that South Africa has progressed in shielding its stock market against financial crises in recent times. These findings hold important implications for stock portfolio managers in South Africa.

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Contagion and Interdependence in African Stock Markets

Cited by 55 publications

References 17 publications

Crisis Periods, Contagion and Integration Effects in the Major African Equity Markets During the 2007-2009 Global Financial Crisis

Crisis Periods, Contagion and Integration Effects in the Major African Equity Markets During the 2007-2009 Global Financial Crisis

Stock market integration in Africa

Measuring spill-over effects of foreign markets on the JSE before, during and after international financial crises

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