TY - JOUR
T1 - Structural breaks in the relative importance of country and industry factors in African stock returns
AU - Boamah, Nicholas Addai
AU - Loudon, Geoffrey
AU - Watts, Edward J.
PY - 2017/2/1
Y1 - 2017/2/1
N2 - 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.
AB - 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.
KW - Africa
KW - Country effects
KW - Global financial crisis
KW - Global industry effects
KW - Structural breaks
UR - http://www.scopus.com/inward/record.url?scp=84961829028&partnerID=8YFLogxK
U2 - 10.1016/j.qref.2016.03.002
DO - 10.1016/j.qref.2016.03.002
M3 - Article
AN - SCOPUS:84961829028
SN - 1062-9769
VL - 63
SP - 79
EP - 88
JO - Quarterly Review of Economics and Finance
JF - Quarterly Review of Economics and Finance
ER -