دانلود رایگان مقاله چگونگی بازارهای سهام در حال ظهور آفریقای مربوط به بازار پیشرفته

Abstract

The finance literature provides ample evidence that diversification benefits hinges on dependence between assets returns. A notable feature of the recent financial crisis is the extent to which assets that had hitherto moved mostly independently suddenly moved together resulting in joint losses in most advanced markets. This provides grounds to uncover the relative potential of African markets to provide diversification benefits by means of their correlation with advanced markets. Therefore, we examine the dependence structure between advanced and emerging African stock markets using copulas. Several findings are documented. First, dependence is time-varying and weak for most African markets, except South Africa. Second, we find evidence of asymmetric dependence, suggesting that stock return comovement varies in bearish and bullish markets. Third, extreme downward stock price movements in the advanced markets do not have significant spillover effects on Africa’s emerging stock markets. Our results, implying that African markets, with the exception of South Africa, are immune to risk spillover from advanced markets, improves the extant literature and have implications for portfolio diversification and risk management.

6. Conclusion

This paper examines the dependence structure among African and advanced stock markets using daily stock prices from January 2000 to April 2014 and copulas. The empirical results show that dependence is time-varying and weak for most African markets, except South Africa. Further, we find evidence of asymmetric dependence, suggesting that stock return comovement varies in bearish and bullish markets. The results indicate a relatively strong downside and upside dependence in South Africa compared to other African markets. Finally, extreme downward stock price movements in the advanced markets do not have significant spillover effects on Africa's emerging stock markets. In general, the evidence presented has important implications for market participants and policy makers in diverse ways. First, the presence of weak dependence between the African stock markets (excluding South Africa) and advanced stock markets points to the potential gains for international investors holding African stocks. Moreover, policymakers in quest of drawing greater portfolio investment to the continent may find the results useful. However, there could be limits to international portfolio diversi- fication benefits if the South African index is held together with stock indices of typical African nations. Our finding should regenerate interest amongst practitioners to reassess how assets are allocated for effective diversification. Second, our results imply that African markets, with the exception of South Africa, are immune to risk spillovers from the more advanced markets and the tendency to boom or crash together is minimal. In light of recent volatility in global stock markets with the associated spread of contagious shocks from advanced to emerging markets, as well as the broad macroeconomic implications, our findings might be useful to policy makers and regulators, particularly in African countries, in designing and implementing appropriate intervention policies.