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Equity Market Integration versus Segmentation in Three Dominant Markets of the Southern African Customs Union: Cointegration and Causality Tests
journal contribution
posted on 2023-06-08, 11:00 authored by Jenifer Piesse, Bruce HearnEmpirical 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.
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Publication status
- Published
File Version
- Published version
Journal
Applied EconomicsISSN
0003-6846Publisher
Taylor & FrancisExternal DOI
Issue
14Volume
34Page range
1711-1722Department 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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