Are there benefits to diversification across the largest African stock markets?

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dc.contributor.advisorDe Jager, Phillipen_ZA
dc.contributor.authorDe Jesus, Carlosen_ZA
dc.date.accessioned2016-07-13T07:50:37Z
dc.date.available2016-07-13T07:50:37Z
dc.date.issued2016en_ZA
dc.description.abstractThis study examines the co-movements of selected African stock exchanges, including Nigeria, Morocco, Egypt and South Africa, as well as the USA, in local currency and in USDt erms, for the period January 2004 to June 2014. The study sheds light on African market cointegration before, during, and post the financial crises of 2007/2008 to identify whether there are benefits to diversification in stock exchanges across Africa and how this has changed over time. Only the four biggest exchanges are examined, to eliminate the effects of illiquidity and ensuring the size of indices used result in conclusions that are practical to investors. This study looks at short and long term relationships using correlation, cointegration, and the direction of the relationships using causality tests. It finds low correlations between all African exchanges and the USA, with the exception of South Africa, which did show significant correlation with the USA. We find no consistent cointegration relationships over the periods tested. There are no consistent causality relationships between the various countries. The implication of these results are that there are likely benefits to diversification across the four African exchanges examined.en_ZA
dc.identifier.apacitationDe Jesus, C. (2016). <i>Are there benefits to diversification across the largest African stock markets?</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,Department of Finance and Tax. Retrieved from http://hdl.handle.net/11427/20336en_ZA
dc.identifier.chicagocitationDe Jesus, Carlos. <i>"Are there benefits to diversification across the largest African stock markets?."</i> Thesis., University of Cape Town ,Faculty of Commerce ,Department of Finance and Tax, 2016. http://hdl.handle.net/11427/20336en_ZA
dc.identifier.citationDe Jesus, C. 2016. Are there benefits to diversification across the largest African stock markets?. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - De Jesus, Carlos AB - This study examines the co-movements of selected African stock exchanges, including Nigeria, Morocco, Egypt and South Africa, as well as the USA, in local currency and in USDt erms, for the period January 2004 to June 2014. The study sheds light on African market cointegration before, during, and post the financial crises of 2007/2008 to identify whether there are benefits to diversification in stock exchanges across Africa and how this has changed over time. Only the four biggest exchanges are examined, to eliminate the effects of illiquidity and ensuring the size of indices used result in conclusions that are practical to investors. This study looks at short and long term relationships using correlation, cointegration, and the direction of the relationships using causality tests. It finds low correlations between all African exchanges and the USA, with the exception of South Africa, which did show significant correlation with the USA. We find no consistent cointegration relationships over the periods tested. There are no consistent causality relationships between the various countries. The implication of these results are that there are likely benefits to diversification across the four African exchanges examined. DA - 2016 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2016 T1 - Are there benefits to diversification across the largest African stock markets? TI - Are there benefits to diversification across the largest African stock markets? UR - http://hdl.handle.net/11427/20336 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/20336
dc.identifier.vancouvercitationDe Jesus C. Are there benefits to diversification across the largest African stock markets?. [Thesis]. University of Cape Town ,Faculty of Commerce ,Department of Finance and Tax, 2016 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/20336en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentDepartment of Finance and Taxen_ZA
dc.publisher.facultyFaculty of Commerceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherFinancial Managementen_ZA
dc.titleAre there benefits to diversification across the largest African stock markets?en_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMComen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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