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Financial Market Integration: Empirical Evidence from the COMESA

Author

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  • Aklilu Gebrehiwot
  • Mustafa Sayim

Abstract

The purpose of this research paper is to investigate the level of financial market integration in the COMESA (The Common Market for Eastern and Southern Africa) regional market over the period from January 2005 to December 2013 using monthly data. Due to data constraint, we select ten countries from the COMESA regional market that have relatively stable data. We also include two big international markets - China and the U.S. to assess the level of integration of the regional market with two of the key global market leaders. To analyze the long-run relationship among the markets, we use the Level-VAR procedure that was proposed by Toda and Yamamato (1995). Despite the establishment of NEPAD (The New Partnership for Africa¡¯s Development) to promote free trade zone and regional integration, and the advent of structural adjustments, we find that the level of financial market integration in the COMESA regional market is not significant, and most of the markets are still fragmented. The financial market integration of the regional market (COMESA) with the two big international markets - China and the U.S. is not also significant to realize integration with the global market leaders.

Suggested Citation

  • Aklilu Gebrehiwot & Mustafa Sayim, 2015. "Financial Market Integration: Empirical Evidence from the COMESA," Business and Economic Research, Macrothink Institute, vol. 5(2), pages 242-255, December.
    • Handle: RePEc:mth:ber888:v:5:y:2015:i:2:p:242-255
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    References listed on IDEAS

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    2. Appiah-Kusi, Joe & Menyah, Kojo, 2003. "Return predictability in African stock markets," Review of Financial Economics, Elsevier, vol. 12(3), pages 247-270.
    3. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-438, July.
    4. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-1580, November.
    5. repec:bla:pacecr:v:10:y:2005:i:1:p:5-28 is not listed on IDEAS
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    1. Chinyamata Chipeta & Angella Faith Montfaucon, 2023. "Effects of import taxes on intra‐African trade: New evidence from a case study of Malawi's imports," The World Economy, Wiley Blackwell, vol. 46(2), pages 415-436, February.

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    More about this item

    Keywords

    COMESA; NEPAD; Market Integration; VAR Procedure;
    All these keywords.

    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

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