Equity Market Integration versus Segmentation in Three Dominant Markets of the Southern African Customs Union: Cointegration and Causality Tests

Piesse, Jenifer and Hearn, Bruce (2002) Equity Market Integration versus Segmentation in Three Dominant Markets of the Southern African Customs Union: Cointegration and Causality Tests. Applied Economics, 34 (14). pp. 1711-1722. ISSN 0003-6846

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Abstract

Empirical tests of theories of financial market integration and segmentation have predominantly focussed on developed OECD countries and the emerging markets of Asia Pacific. This paper uses a unique panel of equity market indices from the principal Southern African Customs Union (SACU) markets. The paper tests the hypothesis of market integration using a cointegration approach. Markets that are found to be integrated are then tested for evidence of Granger causality through an error correction mechanism. Results obtained using VAR modelling techniques are compared to those using an ARDL model. While results lend support to existing trade, macroeconomic and developmental linkages and effects between and within the countries, there is some evidence for the presence of a regional factor common to African Emerging Markets that explains causality from Namibia to South Africa. The results support the view that institution building has progressed, which is considered to be a valuable contribution to growth promotion policies in SSA and market integration throughout financial markets in the SADC community.

Item Type: Article
Schools and Departments: School of Business, Management and Economics > Business and Management
Subjects: H Social Sciences > HG Finance > HG3810 Foreign exchange. International finance. International monetary system
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Depositing User: Bruce Hearn
Date Deposited: 24 Apr 2012 11:39
Last Modified: 07 Mar 2017 09:19
URI: http://sro.sussex.ac.uk/id/eprint/38141

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