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Equity Market Integration versus Segmentation in Three Dominant Markets of the Southern African Customs Union: Cointegration and Causality Tests

journal contribution
posted on 2023-06-08, 11:00 authored by Jenifer Piesse, Bruce Hearn
Empirical tests of theories of financial market integration and segmentation have predominantly focussed on developed OECD countries and the emerging markets of Asia Pacific. This paper uses a unique panel of equity market indices from the principal Southern African Customs Union (SACU) markets. The paper tests the hypothesis of market integration using a cointegration approach. Markets that are found to be integrated are then tested for evidence of Granger causality through an error correction mechanism. Results obtained using VAR modelling techniques are compared to those using an ARDL model. While results lend support to existing trade, macroeconomic and developmental linkages and effects between and within the countries, there is some evidence for the presence of a regional factor common to African Emerging Markets that explains causality from Namibia to South Africa. The results support the view that institution building has progressed, which is considered to be a valuable contribution to growth promotion policies in SSA and market integration throughout financial markets in the SADC community.

History

Publication status

  • Published

File Version

  • Published version

Journal

Applied Economics

ISSN

0003-6846

Publisher

Taylor & Francis

Issue

14

Volume

34

Page range

1711-1722

Department affiliated with

  • Business and Management Publications

Full text available

  • No

Peer reviewed?

  • Yes

Legacy Posted Date

2012-04-24

First Compliant Deposit (FCD) Date

2012-02-24

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