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کد محصول: H332
سال نشر: ۲۰۱۸
نام ناشر (پایگاه داده): الزویر
نام مجله: Research in International Business and Finance
نوع مقاله: علمی پژوهشی (Research articles)
تعداد صفحه انگلیسی: ۱۶ صفحه PDF
مقاله انگلیسی حسابداری ۲۰۱۸ : بازارهای مالی آفریقا در میان بحران مالی جهانی: جدا شدن یا ملحق شدن
African stock markets in the midst of the global financial crisis: recoupling or decoupling?
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بخشی از چکیده فارسی:
این مقاله بررسی می کند که آیا بازارهای سهام افریقا از بحران مالی جهانی ۲۰۰۸-۲۰۰۹ جدا شده اند و یا به آن ملحق شده اند و پیامدهای آن را برای شوک های ایجاد شده تجزیه و تحلیل می کند. ما از یک مدل قیمت گذاری دارایی استفاده می کنیم که اجازه سرریز شدن نوسانات را قبل،بعد و در طول بحران مالی جهانی می دهد و………..
This paper examines whether African equity markets decoupled or recoupled from the 2008–۲۰۰۹ Global Financial Crisis (GFC) and analyzes the implications of that for shocks spillover. We use an asset pricing model that allows for volatility spillovers pre-, during-, and post- the GFC and model recoupling (decoupling) as the propagation (no propagation) of shocks. Our results indicate increased correlation between African stock markets on one hand and the regional and global markets on the other hand during the crisis, with the correlation more regionally driven than globally. Spillover of shocks around 2008–۲۰۰۹ occurred mainly from North Africa, Southern Africa, West Africa, and other emerging markets. The Southern African regional market was the most influential in propagating shocks to other African markets. The South Africa and Nigeria markets are identified as the most responsive to regional shocks contagion during the crisis. We further report that regional markets do not only propagate their own shocks but also shocks intercepted from global markets. The results suggest African equity markets potential decoupling from global shocks than regional shocks during the crisis. We cautiously infer that the evidence of higher regional than global spillover effects may reflect the degree of regional integration, real sector linkages, as well as levels of openness among countries.
Keywords: Recoupling/decoupling,shocks spillover,African stocks, CAPM,regional integration
Financial markets are becoming highly integrated through the globalization process, however, in emerging markets (particularly Africa) evidence abounds on the partial segmentation of equity markets globally and regionally (see Alagidede, 2010; Kodongo and Kalu, 2011; Ntim, 2012; Chinzara and Kambadza, 2014; Oloko, 2017) and low liquidity levels of financial systems (example, Hearn and Piesse, 2013; Hearn, 2014a, 2014b; Ntim, 2012). Among the many studies examining integration of African equity markets, Daryl and Biekpe (2003) and Wang et al. (2003) focused on the integration of African stock markets during and after the Asian crisis of 1997. Alagidede (2010); Agyei-Ampomah (2011) studied the link between African stock exchanges.
Mensah and Alagidede (2017) and Boako and Alagidede (2017) applied various copula specifications to examine the integration and shocks spillovers of African stock markets and their global counterparts. Using the Diebold and Yilmaz (2012) spillovers index, Sugimoto et al. (2014); Fowowe and Shuaibu (2016) analyzed the relationship between African stock markets during the U.S financial crisis and the European debt crisis. The basic conclusion from all the above papers was that equity markets in Africa are inadequately integrated both regionally and globally. While these studies make significant contribution to literature on African markets integration, they fail to capture shocks driven by key economic fundamentals such as commodities and also they fail to determine whether regional equity blocks in Africa transmit their own shocks or shocks intercepted from global markets. The study that comes close to this paper is Coudert et al. (2015). However, it does not capture the tranquil and turbulent phases of the financial crisis.
A highly integrated or segmented market may hold implications for shocks propagation. Thus, whether a market will decouple or recouple from global shocks during crisis may be dependent on its level of integration with the origin of shocks.1 In fact, it is argued that the fear of vulnerability to contagion2 has led to most governments’ reluctance to pursue programmes aimed at enhancing markets integration (Coudert et al., 2015). In this paper, we examine the spillover of global and regional shocks to Africa’s equity markets around the 2008–۲۰۰۹ global financial crisis (GFC). We are particularly interested in estimating how the stock returns in one country respond to shocks hitting other countries’ markets, either in the same region or in other parts of the world; how evidence of recoupling/decoupling regionally or globally hold implications for Africa’s economic integration agenda.
Our interest in this topic is motivated by the fact that debates about emerging markets decoupling from global markets became widespread during the GFC (see Dooley and Hutchison, 2009). Despite this, empirical literature has mainly focused on contagion other than decoupling. Even that, in Africa, research on both contagion and decoupling remains extremely scanty. Meanwhile, there is a compelling reason to establish evidence or otherwise of African equity markets potential decoupling from global shocks in order to provide a clearer view of whether or not its economies can offer active diversification opportunities to international investors during global markets’ sell-offs.
The decoupling phenomenon holds that crashes in the global economy do not necessarily result in losses in emerging markets’ stocks; and that stocks in emerging markets provide active diversification during crisis (see Gulko, 2002; Fitz-Gerald, 2010; Willett et al., 2011 for the theoretical basis on the decoupling hypothesis).3 Thus, returns from global and emerging markets stocks are not jointly normal. However, critics of the decoupling thesis contend that to believe in the existence of decoupling is nothing but suggesting that the global economy is disconnected (Fitz-Gerald, 2010). Considering the uncertainty surrounding the joint non-normality assumption, it is useful to examine African markets decoupling from global shocks in order to ascertain whether African stocks can provide a risk-mitigating hedge for international investors seeking to diversify their portfolios pre-, during-, and post-crisis.4
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