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How are Africa’s emerging stock markets related to advanced markets? Evidence from copulas

20 July 2016
Publication Type: Working Paper
JEL Code: C32, F36, F37, G10, G11, G15

This paper examines the dependence structure between two developed and four emerging African stock markets in a copula framework. Using daily data from January 2000 to April 2014, our empirical results show that dependence structure between African and international stocks varies overtime, but generally weak. There is asymmetric and weak tail dependence for all the countries, implying stock return co-movement varies in bearish and bullish markets and that the dependence is generally not strong in extreme market conditions. We also find that extreme downward stock price movements in the advanced markets do not have significant spillover effects on Africa’s emerging stock markets

Working paper 624
1 July 2016
RELATED JOURNAL:

Economic Modelling
1 January 2017
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