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Author
Labuschagne Coenraad (University of Johannesburg), Majewska Elżbieta (Bialystok University, Poland), Olbryś Joanna (Białystok University of Technology)
Title
Crisis Periods, Contagion and Integration Effects in the Major African Equity Markets During the 2007-2009 Global Financial Crisis
Source
Optimum : studia ekonomiczne, 2016, nr 5(83), s. 31-52, rys., tab., bibliogr. s. 49-52
Keyword
Kryzys finansowy, Rynki giełdowe, Integracja finansowa, Korelacja, Kryzys subprime
Financial crisis, Stock markets, Financial integration, Correlation, Subprime crisis
Note
summ.
Abstract
A 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. (original abstract)
Accessibility
The Library of Warsaw School of Economics
The Library of University of Economics in Katowice
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ISSN
1506-7637
Language
eng
URI / DOI
http://dx.doi.org/10.15290/ose.2016.05.83.03
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