Relationship among stock markets in Africa: A case of five selected countries
Küçük Resim Yok
Tarih
2020
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
İstanbul Ticaret Üniversitesi
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
Afrika finans piyasalarını inceleyen bu çalışmada Mısır, Kenya, Fas, Nijerya ve Güney Afrika borsaları arasındaki ilişkiler analiz edilmiştir. Araştırmada kullanılan örneklem 2009-2018 döneminde haftalık borsa endekslerinin kapanış değerlerinden oluşmaktadır. Zaman serileri arasındaki ilişkiler VAR Analizi, JohansenEşbütünleşme ve Granger Nedensellik Testi ile belirlenmiştir. Çalışmadaki ana bulgular şunlardır: (1) Kazablanka borsalarının fiyat endeksleri uzun vadede diğer borsalardan etkilenmez, ancak CSE hisse senedi fiyatlarındaki şoklar kısa vadede mevcut hissesenedifiyatlarınıetkiler, (2) Mısırborsası, Kenya borsalarını tahmin etmek için kullanılabilir, ancak Fas, Güney Afrika veya Nijerya için kullanılamaz, (3) Güney Afrika borsaları Mısır, Nijeryalı ve Kenya borsalarını tahmin etmek için kullanılabilir ve (4) Johannesburg borsası diğer Afrika ülkelerinin borsa fiyatlarının belirlenmesinde önemli bir rol oynamaktadır. Anahtar kelimeler: borsa, nedensellik, eşbütünleşme, Afrika
In this study examining African financial markets, relations between Egypt, Kenya, Morocco, Nigeria and South Africa exchanges are analyzed. The study aimed at investigating the short-term and long-term relationships between selected African countries stock markets. The sample used in the study consists of the closing values of weekly stock market indices in the 2009-2018 periods. The relationships between time series were determined by VAR Analysis, Johansen Cointegration and Granger Causality Test. The main findings in the study are: (1) price indices of Casablanca stock exchange are not influenced by other stock markets in the long run, but shocks in CSE stock prices influence its current stock prices in the short run, (2) Egyptian stock market can be used to predict the Kenyan stock market but not Morocco, South Africa, or Nigeria, (3) South African stock market can be used to predict the Egyptian, Nigerian, and Kenya stock markets, and (4) Johannesburg stock exchange plays a vital role in effecting the stock prices of other African countries. Key words: stock market, causality, cointegration, Africa
In this study examining African financial markets, relations between Egypt, Kenya, Morocco, Nigeria and South Africa exchanges are analyzed. The study aimed at investigating the short-term and long-term relationships between selected African countries stock markets. The sample used in the study consists of the closing values of weekly stock market indices in the 2009-2018 periods. The relationships between time series were determined by VAR Analysis, Johansen Cointegration and Granger Causality Test. The main findings in the study are: (1) price indices of Casablanca stock exchange are not influenced by other stock markets in the long run, but shocks in CSE stock prices influence its current stock prices in the short run, (2) Egyptian stock market can be used to predict the Kenyan stock market but not Morocco, South Africa, or Nigeria, (3) South African stock market can be used to predict the Egyptian, Nigerian, and Kenya stock markets, and (4) Johannesburg stock exchange plays a vital role in effecting the stock prices of other African countries. Key words: stock market, causality, cointegration, Africa
Açıklama
Finans Enstitüsü, Uluslararası Finans Bilim Dalı
Anahtar Kelimeler
İşletme, Business Administration
