文章基本信息

标题：Time-varying world integration of the African stock markets:a Kalman filter approach
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作者：Anokye M.Adam ; Emmanuel Numapau Gyamfi
期刊名称：Investment Management & Financial Innovations
印刷版ISSN：1810-4967
电子版ISSN：1812-9358
出版年度：2015
卷号：12
期号：3
页码：175-181
语种：English
出版社：LLC “Consulting Publishing Company “Business Perspectives”
摘要：The paper examines the time-varying world integration of African stock markets.The authors analyze the daily returns of Morgan Stanley Capital International(MSCI)/International Finance Corporation(IFC)return indices for eleven African countries from May 2002 to May 2011.The adjusted pricing error from an equilibrium international asset pricing model is used as market integration measure.The Kalman filter technique was employed to capture the timevarying degree of market integration and allows for dynamic change in global risk premium. The paper observed that African stock markets are yet to be fully integrated into global markets and the level of integration has increased after the 2008/2009 financial crisis limiting the diversification opportunities Africa stocks offer for global investors.
关键词：financial integration;Kalman filter;capital asset pricing model