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A Test of the Law of One Price: An Examination of Price Integration between Europe and Regional Markets in Africa
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posted on 2023-06-08, 11:00 authored by Jenifer Piesse, Bruce HearnThis study examines the degree of price-integration of equity index assets between the major markets of Africa, namely Morocco, Tunisia, Egypt, Kenya, Nigeria, Namibia and South Africa with the prominent European markets of London and Paris. The application of Vector Autoregressive and Autoregressive Distributed Lag methods reveals that African markets are largely price-segmented. The only markets that are price-integrated have shared economic and financial institutions such as Namibia and South Africa, and Egypt, Tunisia and France. The evidence suggests that development policy should be focussed on enhancing existing institutions rather than embarking prematurely on regional integration.
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Publication status
- Published
File Version
- Published version
Journal
Applied EconomicsISSN
0003-6846Publisher
Taylor & FrancisExternal DOI
Issue
24Volume
44Page range
3169-3193Department affiliated with
- Business and Management Publications
Full text available
- No
Peer reviewed?
- Yes
Legacy Posted Date
2012-04-24First Compliant Deposit (FCD) Date
2012-02-24Usage metrics
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