Structural breaks in the relative importance of country and industry factors in African stock returns

Nicholas Addai Boamah*, Geoffrey Loudon, Edward J. Watts

*Corresponding author for this work

Research output: Contribution to journalArticle

10 Citations (Scopus)

Abstract

Risk sharing opportunities and international diversification benefits crucially depend on the relative importance of global and national factors. By decomposing the variance of African stock market index returns into global and country specific components, we show that national effects dominate. However, global effects have recently become more important and we identify that significant structural breaks occurred during the Global financial crisis (GFC). Also, the impact of the GFC on African markets was largely through the real sector.

Original languageEnglish
Pages (from-to)79-88
Number of pages10
JournalQuarterly Review of Economics and Finance
Volume63
DOIs
Publication statusPublished - 1 Feb 2017

Keywords

  • Africa
  • Country effects
  • Global financial crisis
  • Global industry effects
  • Structural breaks

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