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On the linkages between Africa’s emerging equity markets and global markets: Evidence from fractional integration and cointegration

Luis A. Gil-Alaña et al.

Review of Development Finance2018https://doi.org/10.1016/j.rdf.2018.11.003article
AJG 2
Weight
0.67

What the paper says

This paper uses fractional integration and cointegration for the period of January 2000–June 2018 to investigate the stochastic properties of the bilateral linkages between stock markets in Africa and selected international markets to establish if markets in Africa co-move with the rest of the world. Results from the univariate analysis show that there exists a high degree of persistence with orders of integration about 1 or higher than 1, implying that shocks to these stock markets have significant permanent effects. Concerning bivariate results and testing for cointegration, evidence of cointegration is found for Egypt and Kenya against the UK and the Europe Zone. There are some other cases where partial evidence of cointegration is found, though in general, in all cases, we observe that the degree of cointegration is very low, implying very long periods of convergence.

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https://doi.org/https://doi.org/10.1016/j.rdf.2018.11.003

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@article{luis2018,
  title        = {{On the linkages between Africa’s emerging equity markets and global markets: Evidence from fractional integration and cointegration}},
  author       = {Luis A. Gil-Alaña et al.},
  journal      = {Review of Development Finance},
  year         = {2018},
  doi          = {https://doi.org/https://doi.org/10.1016/j.rdf.2018.11.003},
}

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Evidence weight

0.67

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.82 × 0.4 = 0.33
M · momentum0.74 × 0.15 = 0.11
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.