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Periodical article | Leiden University catalogue | WorldCat |
Title: | Contagion and interdependence in African stock markets |
Authors: | Collins, D. Biekpe, N. |
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] |