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An Empirical Examination of the Inter-Linkages between African Stock Markets

This paper examines the nature and extent of inter-linkages between African stock markets and the relationships between these markets and that of the regional and global indices. We present evidence to show that African stock markets are still segmented from global markets. We also find evidence of time varying integration to the global market but the level integration rather diminishes over time. In addition, we find that a large part of the total volatility of the domestic index appears largely country-specific which can be diversified away by cross-country diversification.