How are Africa's emerging stock markets related to advanced markets? Evidence from copulas

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• 作者：Jones Odei Mensah ; Paul Alagidede ; ^{paul.alagidede@wits.ac.za}
• 关键词：C32 ; F36 ; F37 ; G10 ; G11 ; G15
• 刊名：Economic Modelling
• 出版年：2017
• 出版时间：January 2017
• 年：2017
• 卷：60
• 期：Complete
• 页码：1-10
• 全文大小：1129 K
• 卷排序：60

文摘

The dependence structure between African and advanced stock markets is examined. We examine whether African stocks react to extreme movement in advanced markets. Dependence structure is time-varying and differed across African stock markets. The results imply no downside spillover effects from advanced to African stock markets. African stocks could offer portfolio diversification gains but within some limits.