Konstantinos Vergos and Benjamin Wanger

Correspondence: Konstantinos Vergos, konstantinos.vergos@port.ac.uk

Portsmouth Business School, United Kingdom

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Abstract

This study evaluates the linkages between stock markets and macroeconomic data in the sub-Sahara Africa during the 2008 –2018 period by using VECM. Our findings confirm unidirectional and bidirectional causalities, and a long-run equilibrium between the indexes, the stock exchanges and their national economies. The contemporaneous sectoral infectivity surpasses the long-run responses. While the banking sector was found to lead markets and macroeconomic indices, Nigerian, Moroccan and Swaziland markets were found to be most weakly integrated. Our findings provide a unique evidence of interdependence between African peripheral markets that could be used in cross-hedging and speculative strategies in fund management.

Keywords:

  Asset pricing, Africa, interdependence, VECM


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