African stock markets integration: an analysis of the relationship between major stock markets in Africa

This paper examines the dynamic relationships between thirteen major stock markets in Africa in normal times and in times of financial crises using the Johansen cointegration and Granger causality methodologies. The empirical results revealed evidence of time-varying relationships among African stock markets. While the long-run relationships among the markets were strong prior to the 2007 global financial crisis (GFC) and during the Eurozone sovereign debt crisis (ESDC) periods, the relationships were severely weakened during the period of the GFC. The result also revealed a high degree of short-run dynamic causal relationships among African stock markets during both crises periods compared to the pre-crisis period.