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Are there benefits to diversification across the largest African stock markets?
This study examines the co-movements of selected African stock exchanges, including Nigeria, Morocco, Egypt and South Africa, as well as the USA, in local currency and in USDt erms, for the period January 2004 to June 2014. The study sheds light on African market cointegration before, during, and po...
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| Format: | Thesis |
| Language: | English |
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Department of Finance and Tax
2016
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| _version_ | 1867613320412921856 |
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| access_status_str | Open Access |
| author | De Jesus, Carlos |
| author2 | De Jager, Phillip |
| author_browse | De Jager, Phillip De Jesus, Carlos |
| author_facet | De Jager, Phillip De Jesus, Carlos |
| author_sort | De Jesus, Carlos |
| collection | Thesis |
| description | This study examines the co-movements of selected African stock exchanges, including Nigeria, Morocco, Egypt and South Africa, as well as the USA, in local currency and in USDt erms, for the period January 2004 to June 2014. The study sheds light on African market cointegration before, during, and post the financial crises of 2007/2008 to identify whether there are benefits to diversification in stock exchanges across Africa and how this has changed over time. Only the four biggest exchanges are examined, to eliminate the effects of illiquidity and ensuring the size of indices used result in conclusions that are practical to investors. This study looks at short and long term relationships using correlation, cointegration, and the direction of the relationships using causality tests. It finds low correlations between all African exchanges and the USA, with the exception of South Africa, which did show significant correlation with the USA. We find no consistent cointegration relationships over the periods tested. There are no consistent causality relationships between the various countries. The implication of these results are that there are likely benefits to diversification across the four African exchanges examined. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/20336 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:34:14.045Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2016 |
| publishDateRange | 2016 |
| publishDateSort | 2016 |
| publisher | Department of Finance and Tax |
| publisherStr | Department of Finance and Tax |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/20336 Are there benefits to diversification across the largest African stock markets? De Jesus, Carlos De Jager, Phillip Financial Management This study examines the co-movements of selected African stock exchanges, including Nigeria, Morocco, Egypt and South Africa, as well as the USA, in local currency and in USDt erms, for the period January 2004 to June 2014. The study sheds light on African market cointegration before, during, and post the financial crises of 2007/2008 to identify whether there are benefits to diversification in stock exchanges across Africa and how this has changed over time. Only the four biggest exchanges are examined, to eliminate the effects of illiquidity and ensuring the size of indices used result in conclusions that are practical to investors. This study looks at short and long term relationships using correlation, cointegration, and the direction of the relationships using causality tests. It finds low correlations between all African exchanges and the USA, with the exception of South Africa, which did show significant correlation with the USA. We find no consistent cointegration relationships over the periods tested. There are no consistent causality relationships between the various countries. The implication of these results are that there are likely benefits to diversification across the four African exchanges examined. 2016-07-13T07:50:37Z 2016-07-13T07:50:37Z 2016 Master Thesis Masters MCom http://hdl.handle.net/11427/20336 eng application/pdf Department of Finance and Tax Faculty of Commerce University of Cape Town |
| spellingShingle | Financial Management De Jesus, Carlos Are there benefits to diversification across the largest African stock markets? |
| thesis_degree_str | Master's |
| title | Are there benefits to diversification across the largest African stock markets? |
| title_full | Are there benefits to diversification across the largest African stock markets? |
| title_fullStr | Are there benefits to diversification across the largest African stock markets? |
| title_full_unstemmed | Are there benefits to diversification across the largest African stock markets? |
| title_short | Are there benefits to diversification across the largest African stock markets? |
| title_sort | are there benefits to diversification across the largest african stock markets |
| topic | Financial Management |
| url | http://hdl.handle.net/11427/20336 |
| work_keys_str_mv | AT dejesuscarlos aretherebenefitstodiversificationacrossthelargestafricanstockmarkets |