Simplice A, Asongu (2012): African Stock Market Performance Dynamics: A Multidimensional Convergence Assessment. Forthcoming in:
This is the latest version of this item.
Download (169kB) | Preview
Download (233kB) | Preview
This paper dissects with great acuteness, the issues of convergence in financial performance dynamics in the African continent through the lenses of stock market capitalization, value traded, turnover and number of listed companies. The empirical evidence is premised on 11 homogenous panels based on regions (sub-Saharan and North Africa), income-levels (Low, Middle, Lower-middle and Upper-middle), legal-origins (English common-law and French civil-law) and religious dominations (Christianity and Islam). Findings provide partial support for the existence of absolute convergence in some dynamics. Only sub-Saharan Africa reveals conditional convergence in relation to per capita number of listed companies. The speed of convergence for the most part is between 12% and 28% per annum. As a policy implication, countries should work towards adopting common institutional and structural characteristics that favor stock market development.
|Item Type:||MPRA Paper|
|Original Title:||African Stock Market Performance Dynamics: A Multidimensional Convergence Assessment|
|Keywords:||Convergence; Stock markets; Panel; Africa|
|Subjects:||F - International Economics > F3 - International Finance > F30 - General
O - Economic Development, Innovation, Technological Change, and Growth > O1 - Economic Development > O16 - Financial Markets ; Saving and Capital Investment ; Corporate Finance and Governance
G - Financial Economics > G1 - General Financial Markets > G10 - General
G - Financial Economics > G2 - Financial Institutions and Services > G20 - General
P - Economic Systems > P5 - Comparative Economic Systems > P50 - General
|Depositing User:||Simplice Anutechia Asongu|
|Date Deposited:||11. Sep 2012 11:03|
|Last Modified:||20. Apr 2015 09:42|
Adler, M., & Dumas, B. (1983). International Portfolio Choice and Corporation Finance: A Synthesis, Journal of Finance, 38, 925-984.
Alagidede, P. (2008). African Stock Market Integration: Implications for Portfolio Diversification and International Risk Sharing. Proceedings of the African Economic Conferences 2008.
Allen, F. & Gale, D. (2000). Comparing Financial Systems. The MIT Press, Cambridge, MA.
Apergis, N., Christou, C., & Miller, S. M. (2010). Country and Industry Convergence in Equity Markets: International Evidence from Club Convergence and Clustering. Department of Banking and Financial Management, University of Piraeus, Greece
Arellano, M., & Bond, S. (1991). Some tests of specification for panel data: Monte Carlo evidence and an application to employment equations. The Review of Economic Studies, 58, 277-297.
Balcerowicz, L., & Fischer, S. (2006). Living standards and the wealth of nations. Successes and failures in real convergence. The MIT Press.
Baltagi, B. H., & Demetriades, P. (2011). Introduction to the special issue on new perspectives on finance and development, Empirical Economics, 41, 1-5.
Barro, R. J. (1991). Economic growth in a cross section of countries”, Quarterly Journal of Economics, 106, 407-443.
Barro, R. J., & Sala-i-Martin, X. (1991). Convergence across States and Regions, Brookings Papers on Economic Activity, 22 (1991-1), 107-182.
Barro, R. J., & Sala-i-Martin, X. (1992). Convergence, Journal of Political Economy, 100, 223-251.
Barro, R. J., & Sala-i-Martin, X. (1995). Economic Growth. The MIT Press, Cambridge, MA.
Bartels, F. L., Alladina, S. N., & Lederer, S. (2009). Foreign Direct Investment in Sub-Saharan Africa: Motivating Factors and Policy Issues, Journal of African Business, 10(2), 141-162.
Baumol, W. J. (1986). Productivity, growth, convergence and welfare: what the long run data show, American Economic Review, 76, 1072-1085.
Beine, M., Cosma, A., & Vermeulen, R. (2010). The dark side of global integration: increasing tail dependence, Journal of Banking and Finance, 34, 184-192.
Bessler, D. A., & Yang, J. (2003). The structure of interdependence in international stock markets”, Journal of International Money and Finance, 22, 261-287.
Biekpe, N. (2004). Financing Small Businesses in Sub-Saharan Africa: Review of Some Key Credit Lending Models and Impact of Venture Capital Provision, Journal of African Business, 5 (1), 29-44.
Bliss, C. (2000). Galton’s Fallacy and Economic Convergence: A Reply to Cannon and Duck, Oxford Economic Papers, 52, 420-422.
Bliss, C. (1999). Galton’s Fallacy and Economic Convergence: A Reply to Cannon and Duck, Oxford Economic Papers, 51, 4-14.
Blundell, R., & Bond, S. (1998). Initial conditions and moment restrictions in dynamic panel data models, Journal of Econometrics, 87(1), 115-143.
Bossone, B., & Honohan, P. (2003). Coping with a Small Financial System. Policy Issues for Africa, Journal of African Business, 4(2), 5-20.
Brada, J. C., Kutan, A. M., & Zhou, S. (2005). Real and monetary convergence between European Union’s core and recent member countries: a rolling cointegration approach, Journal of Banking and Finance, 29, 249-270.
Bruno, G., De Bonis, R., & Silvestrini, A. (2011). Do financial systems converge? New evidence from financial assets in OECD countries, Journal of Comparative Economics: Forthcoming.
Calcagnini, G., Farabullini, F., & Hester, D. D. (2000). Financial Convergence in the European Monetary Union? SSRI Working Paper Series 2022, University of Wisconsin, Madison.
Caporale, G. M., Erdogan, B., & Kuzin, V. (2009). Testing for Convergence in Stock markets: A Non-Linear Factor Approach. Discussion Paper No. 932, Deutsches Institut fur Wirtschaftsforschung, Berlin.
Cellini, R., & Scorcu, A. E. (1995). How many Italies? What data show about growth and convergence across Italian regions 1970-91. Miemo, University of Bologna.
Chen, G-M., Firth, M., & Rui, O. M. (2002). Stock market linkages: evidence from Latin America, Journal of Banking and Finance, 26, 1113-1141.
Clark, R. A. (2003). African Securities Market Designs, Journal of African Business, 4(3), 83-102.
Costantini, M., & Lupi, C. (2005). Stochastic Convergence among European Economies. Economics Bulletin, 3(38), 1-17.
Cummins, J. D., & Weiss, M. A. (2009). Convergence of insurance and financial markets: hybrid and securitized risk-transfer solutions, The Journal of Risk and Insurance, 76(3), 493-545.
Darley, W. K. (2012). Increasing Sub-Saharan Africa's Share of Foreign Direct Investment: Public Policy Challenges, Strategies, and Implications, Journal of African Business, 13(1), 62-69.
Elyasiani, E., Mansur, I., & Pagano, M. S. (2007). Convergence and risk-return linkages across financial service firms, Journal of Banking and Finance, 31, 1167-1190.
Eun, C. S., & Lee, J. (2010). Mean-variance around the world, Journal of Banking and Finance, 34, 856-870.
Fung, M. K. (2009). Financial development and economic growth: convergence or divergence?, Journal of International Money and Finance, 28, 56-67.
Giannetti, M., Guiso, L., Jappelli, T., Padula, M., & Pagano, M. (2002). Financial Market Integration, Corporate Financial and Economic Growth, European Commission Economic Papers No. 179, Brussels.
Goldsmith, R. W. (1969). Financial Structure and Development. Yale University Press, New Haven, CT.
Gray, K. R., & Bythewood, C. (2001). Emerging Securities Exchanges in Africa. International Characteristics of the Nairobi Stock Exchange, Journal of African Business, 2(3), 65-73.
Grubel, H. (1968). Internationally diversified portfolio: welfare gains in capital flows, American Economic Review, 58, 89-94.
Holzl, W. (2006). Convergence of financial system: towards an evolutionary perspective, Journal of Institutional Economics, 2, 67-90.
International Monetary Fund (2006). How do financial systems affect economic cycles?, World Economic Outlook, September (Chapter 4).
Islam, N. (1995). Growth Empirics: A Panel Data Approach, The Quarterly Journal of Economics, 110, (4), 1127-1170.
Islam, N. (2003). What have We Learnt from the Convergence Debate?, Journal of Economic Surveys, 17 (3), 309-362.
Kaul, A., Mehrotra, V. (2007). The role of trades in price convergence: a study of dual-listed Canadian stocks, Journal of Empirical Finance, 14, 196-219.
Kim, S. J., Moshirian, F., & Wu, E. (2005). Dynamic stock market integration driven by the European Monetary Union: an empirical analysis, Journal of Banking and Finance, 29, 2475-2502.
Kim, S. J., Moshirian, F., & Wu, E. (2006). Evolution of international stock and bond market integration: influence of the European Monetary Union, Journal of Banking and Finance, 30, 1507-1534.
Kumo, W. L. (2011). Growth and Macroeconomic Convergence in Southern Africa, African Development Banking Working Paper 130, Tunis, Tunisia.
La Porta, R., Lopez-de-Silanes, F., Shleifer, A., & Vishny, R. (1998). Law and finance, Journal of Political Economy, 106, 1113-1155.
Levine, R. (1997). Financial Development and Economic Growth: views and agenda, Journal of Economic Literature, 35, 688-726.
Levy, H., & Sarnat, M. (1970). International diversification of investment portfolios, American Economic Review, 60, 668-675.
Mankiw, N. G., Romer, D., & Weil, D. N. (1992). A contribution to the empirics of economic growth, Quarterly Journal of Economics, 107, 407–437.
Miller, S. M., & Upadhyay, M. P. (2002). Total factor productivity and the convergence hypothesis. Journal of Macroeconomics 24, 267-286.
Mutenheri, E., & Green, C. J. (2003). Financial Reform and Financing Decisions of Listed Firms in Zimbabwe, Journal of African Business, 4(2), 155-170.
Narayan, P. K., Mishra, S., & Narayan, S. (2011). Do market capitalization and stocks traded converge? New global evidence, Journal of Banking and Finance, 35, 2771-2781.
Ngugi, R. W., Murinde, V., & Green, C. J. (2003). How Have the Emerging Stock Exchanges in Africa Responded to Market Reforms?, Journal of African Business, 4(2), 89-127.
North, D. C. (1990). Institutions, Institutional Change and Economic Performance. Cambridge University Press, Cambridge, UK.
North, D. C. (1994). Economic performance through time, American Economic Review, 84, 359-368.
Orlowski, L. T. (2005). Monetary convergence of the E.U accession countries to the eurozone: a theoretical framework and policy implications, Journal of Banking and Finance, 29, 203-225.
Pritchett, L. (1997). Divergence, Big Time, Journal of Economic Perspectives, 11(3), 3-17. Quartey, P. (2003). Financing Small and Medium Enterprises (SMEs) in Ghana, Journal of African Business, 4(1), 37-55.
Rajan, R., & Zingales, L. (2003). Banks and Markets: The Changing Character of European Finance, NBER Working Paper No. 9595.
Rodrik, D. (2006). Goodbye Washington consensus. Hello Washington confusion? A review of the World Bank’s economic growth in the 1990s: Learning from a decade of reform, Journal of Economic Literature, 44, 973-987.
Rodrik, D. (2011). The Future of Economic Convergence, NBER Working Paper No. 17400.
Rolfe, R. J., & Woodward, D. P. (2004). Attracting foreign investment through privatization: the Zambian experience, Journal of African Business, 5(1), 5-27.
Shleifer, A. (2009). The age of Milton Friedman, Journal of Economic Literature, 47, 123-135.
Solow, R. M. (1956). A contribution to the theory of economic growth, Quarterly Journal of Economics, 70, 65-94.
Su, Y-C., Huang, H-C., Hsu, M-W. (2010). “ Convergence to market efficiency of top gainers”, Journal of Banking and Finance, 34, 2230-2237.
Swan, T. (1956). Economic growth and capital accumulation. Economic Record, 32, 334–361.
Toumi, K. (2011). The Role of the Investment Climate and Tax Incentives in the Foreign Direct Investment Decision: Evidence from South Africa, Journal of African Business, 12(1), 133-147.
Umutlu, M., Akdeniz, L., & Altag-Salih, A. (2010). The degree of financial liberalisation and aggregated stock-return volatility in emerging markets, Journal of Banking and Finance, 34(3), 509-521.
Von Furstenberg, G. M., & Jeon, B. N. (1989). International stock price movements: links and messages, Brookings Papers on Economic Activity, 1, 125-179.
Yu, I-W., Fung, K-P., & Tam, C-S. (2010). Assessing the financial market integration in Asia-equity markets, Journal of Banking and Finance, 34, 2874-2885.
Available Versions of this Item
African Stock Market Performance Dynamics: A Multidimensional Convergence Assessment. (deposited 19. Jan 2012 15:06)
- African Stock Market Performance Dynamics: A Multidimensional Convergence Assessment. (deposited 11. Sep 2012 11:03) [Currently Displayed]