EuroEconomica, Vol 31, No 2 (2012)

Abstract

This study employs cointegration technique to determine the co-movement of 10 African national stock markets indexes, using monthly indexes spanning February 1997 to October, 2011. Results demonstrate less than full cointegrating vectors, which suggest that African stock markets are not fully integrated. Further findings indicate that big African stock markets indexes influence fluctuations in small African markets indexes. Generally, this implies limited benefits accrue from portfolio diversification within Africa stock markets.