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

journal contribution
posted on 2023-06-08, 11:00 authored by Jenifer Piesse, Bruce Hearn
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.

History

Publication status

  • Published

File Version

  • Published version

Journal

Applied Economics

ISSN

0003-6846

Publisher

Taylor & Francis

Issue

24

Volume

44

Page range

3169-3193

Department affiliated with

  • Business and Management Publications

Full text available

  • No

Peer reviewed?

  • Yes

Legacy Posted Date

2012-04-24

First Compliant Deposit (FCD) Date

2012-02-24

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