Dynamics of stock markets interdependence in the pre-and post global financial crisis period: evidence from Toda-Yamamoto causality test
This paper analysed the causal relationship between the three largest African stock markets; Nigeria, South-Africa and Egypt. The analysis was conducted for two sample periods using the index of the stock markets. The pre-crisis period between January 2000-April 2008, and the crisis/post-crisis peri...
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| Format: | Article |
| Language: | English |
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Stock markets, interdependence, causality, Toda-Yamamoto
2018
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| Online Access: | https://repo.uum.edu.my/id/eprint/25741/1/AJEBA%207%203%202018%201%209.pdf |
| _version_ | 1825805346533277696 |
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| author | Yola, Abdul-Nasir Mohd Khan, Shazida Jan Hidthir, Mohamad Helmi |
| author_facet | Yola, Abdul-Nasir Mohd Khan, Shazida Jan Hidthir, Mohamad Helmi |
| author_sort | Yola, Abdul-Nasir |
| collection | UUM |
| description | This paper analysed the causal relationship between the three largest African stock markets; Nigeria, South-Africa and Egypt. The analysis was conducted for two sample periods using the index of the stock markets. The pre-crisis period between January 2000-April 2008, and the crisis/post-crisis period between May 2008-December 2016. The study employed Toda and Yamamoto robust causality test. The result from the study found evidence of no causal relationship between the three selected stock markets in the pre-crisis period. In the crisis/post-crisis period, we found a unidirectional causality from South-Africa to Nigeria stock markets. Beside this, there is no evidence of causal relationship between the stock exchange markets. Therefore, the study concluded that there is no strong difference between the causal relationship in the two analysed periods which signifies benefits of diversification between the three stock exchange markets. |
| first_indexed | 2024-07-04T06:30:49Z |
| format | Article |
| id | uum-25741 |
| institution | Universiti Utara Malaysia |
| language | English |
| last_indexed | 2024-07-04T06:30:49Z |
| publishDate | 2018 |
| publisher | Stock markets, interdependence, causality, Toda-Yamamoto |
| record_format | eprints |
| spelling | uum-257412019-03-12T06:43:23Z https://repo.uum.edu.my/id/eprint/25741/ Dynamics of stock markets interdependence in the pre-and post global financial crisis period: evidence from Toda-Yamamoto causality test Yola, Abdul-Nasir Mohd Khan, Shazida Jan Hidthir, Mohamad Helmi HJ Public Finance This paper analysed the causal relationship between the three largest African stock markets; Nigeria, South-Africa and Egypt. The analysis was conducted for two sample periods using the index of the stock markets. The pre-crisis period between January 2000-April 2008, and the crisis/post-crisis period between May 2008-December 2016. The study employed Toda and Yamamoto robust causality test. The result from the study found evidence of no causal relationship between the three selected stock markets in the pre-crisis period. In the crisis/post-crisis period, we found a unidirectional causality from South-Africa to Nigeria stock markets. Beside this, there is no evidence of causal relationship between the stock exchange markets. Therefore, the study concluded that there is no strong difference between the causal relationship in the two analysed periods which signifies benefits of diversification between the three stock exchange markets. Stock markets, interdependence, causality, Toda-Yamamoto 2018 Article PeerReviewed application/pdf en https://repo.uum.edu.my/id/eprint/25741/1/AJEBA%207%203%202018%201%209.pdf Yola, Abdul-Nasir and Mohd Khan, Shazida Jan and Hidthir, Mohamad Helmi (2018) Dynamics of stock markets interdependence in the pre-and post global financial crisis period: evidence from Toda-Yamamoto causality test. Asian Journal of Economics, Business and Accounting, 7 (3). pp. 1-9. ISSN 2456639X http://doi.org/10.9734/AJEBA/2018/42761 doi:10.9734/AJEBA/2018/42761 doi:10.9734/AJEBA/2018/42761 |
| spellingShingle | HJ Public Finance Yola, Abdul-Nasir Mohd Khan, Shazida Jan Hidthir, Mohamad Helmi Dynamics of stock markets interdependence in the pre-and post global financial crisis period: evidence from Toda-Yamamoto causality test |
| title | Dynamics of stock markets interdependence in the pre-and post global financial crisis period: evidence from Toda-Yamamoto causality test |
| title_full | Dynamics of stock markets interdependence in the pre-and post global financial crisis period: evidence from Toda-Yamamoto causality test |
| title_fullStr | Dynamics of stock markets interdependence in the pre-and post global financial crisis period: evidence from Toda-Yamamoto causality test |
| title_full_unstemmed | Dynamics of stock markets interdependence in the pre-and post global financial crisis period: evidence from Toda-Yamamoto causality test |
| title_short | Dynamics of stock markets interdependence in the pre-and post global financial crisis period: evidence from Toda-Yamamoto causality test |
| title_sort | dynamics of stock markets interdependence in the pre and post global financial crisis period evidence from toda yamamoto causality test |
| topic | HJ Public Finance |
| url | https://repo.uum.edu.my/id/eprint/25741/1/AJEBA%207%203%202018%201%209.pdf |
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