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A test of the law of one price: an examination of price integration between Europe and regional markets in Africa

A test of the law of one price: an examination of price integration between Europe and regional markets in Africa
A test of the law of one price: an examination of price integration between Europe and regional markets in Africa
This study examines the degree of price-integration of equity index assets between the major markets of Africa, namely Morocco, Tunisia, Egypt, Kenya, Nigeria, Namibia and South Africa with the prominent European markets of London and Paris. The application of Vector Autoregressive and Autoregressive Distributed Lag methods reveals that African markets are largely price-segmented. The only markets that are price-integrated have shared economic and financial institutions such as Namibia and South Africa, and Egypt, Tunisia and France. The evidence suggests that development policy should be focussed on enhancing existing institutions rather than embarking prematurely on regional integration.
Hearn, Bruce
45dccea3-9631-4e5e-914c-385896674dc2
Piesse, Jenifer
b85393d2-b4ae-49f2-87cd-8b5007c99e97
Hearn, Bruce
45dccea3-9631-4e5e-914c-385896674dc2
Piesse, Jenifer
b85393d2-b4ae-49f2-87cd-8b5007c99e97

Hearn, Bruce and Piesse, Jenifer (2010) A test of the law of one price: an examination of price integration between Europe and regional markets in Africa. In 7th African Finance Journal Conference, Windhoek, Namibia. 37 pp .

Record type: Conference or Workshop Item (Paper)

Abstract

This study examines the degree of price-integration of equity index assets between the major markets of Africa, namely Morocco, Tunisia, Egypt, Kenya, Nigeria, Namibia and South Africa with the prominent European markets of London and Paris. The application of Vector Autoregressive and Autoregressive Distributed Lag methods reveals that African markets are largely price-segmented. The only markets that are price-integrated have shared economic and financial institutions such as Namibia and South Africa, and Egypt, Tunisia and France. The evidence suggests that development policy should be focussed on enhancing existing institutions rather than embarking prematurely on regional integration.

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Law of One Price Final
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More information

Published date: 20 March 2010
Venue - Dates: 7th African Finance Journal Conference, University of Stellenbosch Business School and Africa-Growth Institute, Cape Town, South Africa, 2010-03-18 - 2010-05-22

Identifiers

Local EPrints ID: 423401
URI: http://eprints.soton.ac.uk/id/eprint/423401
PURE UUID: 01c1864b-3742-4a78-9b66-c39e39c83bed
ORCID for Bruce Hearn: ORCID iD orcid.org/0000-0001-9767-0198

Catalogue record

Date deposited: 21 Sep 2018 16:30
Last modified: 13 Aug 2022 02:00

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Contributors

Author: Bruce Hearn ORCID iD
Author: Jenifer Piesse

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