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Tytuł: Crisis Periods, Contagion and Integration Effects in the Major African Equity Markets During the 2007-2009 Global Financial Crisis
Autorzy: Labuschagne, Coenraad
Majewska, Elżbieta
Olbryś, Joanna
Słowa kluczowe: stock market
crisis
cross-market correlations
contagion
integration
Data wydania: 2016
Data dodania: 10-mar-2017
Wydawca: Wydawnictwo Uniwersytetu w Białymstoku
Źródło: Optimum. Studia Ekonomiczne, Nr 5(83) 2016, s. 31-52
Abstrakt: A number of studies assert that during critical events cross-market correlations change substantially. The main focus of this paper is to explicitly test two research hypotheses concerning the effect of increasing cross-market correlations in the 2007-2009 Global Financial Crisis (GFC) compared to the pre-crisis period. These hypotheses state that there was no contagion and no integration effects among the U.S., the U.K., and selected African stock markets (South Africa, Namibia, Egypt, Nigeria, Morocco and Kenya) during the GFC. The crisis periods are formally detected using a statistical method of dividing market states into bullish and bearish markets. The sample period begins in January 2003 and ends in December 2013, and it includes the 2007 U.S. subprime crisis. Obtained results indicate that there is no reason to reject both research hypotheses. Moreover, the results confirm a heterogeneity of the African equity markets in the context of the influence of the recent global crisis.
Afiliacja: Coenraad Labuschagne - Department of Finance and Investment Management, University of Johannesburg
Elżbieta Majewska - Faculty of Mathematics and Informatics, University of Białystok
Joanna Olbryś - Faculty of Computer Science, Bialystok University of Technology
E-mail: Coenraad Labuschagne: coenraad.labuschagne@uj.ac.za
Elżbieta Majewska: e.majewska@uwb.edu.pl
Joanna Olbryś: j.olbrys@pb.edu.pl
Opis: The contribution of the first named author is based on research supported by the National Research Foundation, Grant Number 87502. We thank Antonie Kotzé for providing us with some of the data that we required in this paper.
URI: http://hdl.handle.net/11320/5258
DOI: 10.15290/ose.2016.05.83.03
ISSN: 1506-7637
Typ Dokumentu: Article
Występuje w kolekcji(ach):Artykuły naukowe (WMiI)
Optimum. Studia Ekonomiczne, 2016, nr 5(83)

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