Financial liberalisation and stock markets integration: further evidence from Nigeria, South Africa and Egypt
The aim of this paper is to analyse the financial liberalisation and stock markets integration of Nigeria, South-Africa and Egypt. The study is conducted for the period of 1989-2016 and comprised both the pre- and post-liberalisation era. The paper employed the Vector Autoregressive methodology. The...
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my.uum.repo.257392019-03-12T07:11:07Z http://repo.uum.edu.my/25739/ Financial liberalisation and stock markets integration: further evidence from Nigeria, South Africa and Egypt Mohd Khan, Shazida Jan Anuar, Abdul Rahim Hidthiir, Mohamad Helmi HG Finance The aim of this paper is to analyse the financial liberalisation and stock markets integration of Nigeria, South-Africa and Egypt. The study is conducted for the period of 1989-2016 and comprised both the pre- and post-liberalisation era. The paper employed the Vector Autoregressive methodology. The use of the financial liberalisation dummy gives a better insight into the impact of financial liberalization on the integration of markets. The result showed there is no long-run relationship between the selected stock exchange markets. The result further showed evidence of short-run dynamics between stock exchange markets. The generalized impulse response functions showed that all the markets responded from shock. The financial liberalization dummy is positive and significant and implied its impact on the integration of the markets. The paper concluded that the stock markets are not fully integrated. As such, investors who have long-term investment plans can diversify their portfolios across the three selected stock markets. Akademia Baru 2018 Article PeerReviewed application/pdf en http://repo.uum.edu.my/25739/1/JARBMS%20121%201%202018%20114%20122.pdf Mohd Khan, Shazida Jan and Anuar, Abdul Rahim and Hidthiir, Mohamad Helmi (2018) Financial liberalisation and stock markets integration: further evidence from Nigeria, South Africa and Egypt. Journal of Advanced Research in Business and Management Studies, 12 (1). pp. 92-111. ISSN 2462-1935 http://www.akademiabaru.com/arbms.html doi:10.4018/978-1-5225-2835-7.ch006 |
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HG Finance Mohd Khan, Shazida Jan Anuar, Abdul Rahim Hidthiir, Mohamad Helmi Financial liberalisation and stock markets integration: further evidence from Nigeria, South Africa and Egypt |
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The aim of this paper is to analyse the financial liberalisation and stock markets integration of Nigeria, South-Africa and Egypt. The study is conducted for the period of 1989-2016 and comprised both the pre- and post-liberalisation era. The paper employed the Vector Autoregressive methodology. The use of the financial liberalisation dummy gives a better insight into the impact of financial liberalization on
the integration of markets. The result showed there is no long-run relationship between the selected stock exchange markets. The result further showed evidence of short-run dynamics between stock exchange markets. The generalized impulse response functions showed that all the markets responded from shock. The financial
liberalization dummy is positive and significant and implied its impact on the integration of the markets. The paper concluded that the stock markets are not fully integrated. As such, investors who have long-term investment plans can diversify their portfolios across the three selected stock markets. |
format |
Article |
author |
Mohd Khan, Shazida Jan Anuar, Abdul Rahim Hidthiir, Mohamad Helmi |
author_facet |
Mohd Khan, Shazida Jan Anuar, Abdul Rahim Hidthiir, Mohamad Helmi |
author_sort |
Mohd Khan, Shazida Jan |
title |
Financial liberalisation and stock markets integration: further evidence from Nigeria, South Africa and Egypt |
title_short |
Financial liberalisation and stock markets integration: further evidence from Nigeria, South Africa and Egypt |
title_full |
Financial liberalisation and stock markets integration: further evidence from Nigeria, South Africa and Egypt |
title_fullStr |
Financial liberalisation and stock markets integration: further evidence from Nigeria, South Africa and Egypt |
title_full_unstemmed |
Financial liberalisation and stock markets integration: further evidence from Nigeria, South Africa and Egypt |
title_sort |
financial liberalisation and stock markets integration: further evidence from nigeria, south africa and egypt |
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Akademia Baru |
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2018 |
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http://repo.uum.edu.my/25739/1/JARBMS%20121%201%202018%20114%20122.pdf http://repo.uum.edu.my/25739/ http://www.akademiabaru.com/arbms.html |
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