A Test of the Law of One Price: An Examination of Price Integration between Europe and Regional Markets in Africa

Piesse, Jenifer and Hearn, Bruce (2012) A Test of the Law of One Price: An Examination of Price Integration between Europe and Regional Markets in Africa. Applied Economics, 44 (24). pp. 3169-3193. ISSN 0003-6846

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Abstract

This 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.

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
H Social Sciences > HG Finance > HG4001 Finance management. Business finance. Corporation finance
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Depositing User: Bruce Hearn
Date Deposited: 24 Apr 2012 11:42
Last Modified: 07 Mar 2017 09:19
URI: http://sro.sussex.ac.uk/id/eprint/38143

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