Browsing by Author "Aawaar, Godfrey"

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    African stock markets: empirics of development, integration, efficiency and investor herd behaviour
    (University of Zululand, 2017) Aawaar, Godfrey; Tewari, D.D
    Africa’s stock markets are as diverse as the 53 economies that constitute the continent. Stock markets in Africa have been described as being less developed, inefficient and isolated or segmented from the rest of the world. However, these views are not entirely accurate in the light of the current state of development. African stock markets have gained prominence and relevance in the global financial scene in the last three decades. The number of exchanges, for instance, has risen from 6 in the 1980s to 29 presently. Most of them may have experienced significant progress in terms of their performance, their integration with the world and their efficiency. Regrettably, unlike the developed and emerging stock markets elsewhere in the world, Africa’s stocks markets have suffered a history of global and investor neglect and have accordingly attracted very little research. This study contributes to our knowledge of Africa’s stock markets in relation to what factors drive their development, whether their co-movement (regionally and globally) has evolved over time and in scale, whether their integration is associated with their informational efficiency, and whether or not herding behaviour exists in these stock markets. The study used various methodologies to accomplish the objectives including the dynamic GMM estimation, pooled panel OLS regression, wavelet squared coherence analysis, multivariate DCC-GARCH analysis, and the cross-sectional absolute deviation (CSAD) modelling technique. The findings of this study have far-reaching implications: First, we conclude that both domestic (macroeconomic and institutional) and global factors drive stock market development in Africa; sound domestic macroeconomic environment and good quality institutions as well as stable global economic and financial conditions are indispensable drivers of stock market development. Second, we also conclude that the integration and co-movements of Africa’s stock markets with the world market is both time-varying and scale-dependent, but with significant variations among market pairs. In addition, greater global co-movements exist in Africa’s stock markets at both short- and long-term frequency scales, while intra-regional and inter-regional co-movements exist at various time horizons but are relatively weak. However, the strength of these dependencies differs between pairs of markets and regions. Third, we additionally conclude that market integration is closely associated with informational efficiency, and that a globally integrated stock market tends to be a globally informationally efficient market. Finally, we conclude that herding behaviour exists in Africa’s emerging equity markets. Important policy recommendations are suggested in this study.