Go to AfricaBib home

Go to AfricaBib home AfricaBib Go to database home

bibliographic database
Line
Previous page New search

The free AfricaBib App for Android is available here

Periodical article Periodical article Leiden University catalogue Leiden University catalogue WorldCat catalogue WorldCat
Title:Contagion and interdependence in African stock markets
Authors:Collins, D.ISNI
Biekpe, N.ISNI
Year:2003
Periodical:South African Journal of Economics
Volume:71
Issue:1
Pages:181-194
Language:English
Geographic term:Africa
Subjects:financial market
global economy
External link:https://onlinelibrary.wiley.com/doi/10.1111/j.1813-6982.2003.tb00077.x/pdf
Abstract:The downside to increased global integration is an increased exposure to global crises. If a country is highly integrated with exposure to global markets, its financial markets may suffer a dramatic downturn that may or may not be related to that country's own sovereign risk. The purpose of this study is to gain a greater understanding of the relationships between African markets and global emerging equity market returns, as well as the relationships between African equity market returns. The narrow definition of contagion - a significant increase in correlation coefficients over a period of financial turmoil - is used. Applying the Forbes and Rigobon (2002) adjustment to the correlation coefficients, the study measures contagion among African markets during the 1997 Asian crisis, specifically in the case of the Hong Kong crash on October 17, 1997. The results show that there is evidence of contagion in African markets from global emerging market crises only in the largest and most traded markets, namely Egypt and South Africa. The analysis of the relationships between African stock markets suggests that interrelationships between African markets fall mostly on regional lines. Bibliogr., notes. [ASC Leiden abstract]
Views
Cover