A dissertation submitted to the Wits Business School, Faculty of Commerce, Law and Management, in partial fulfillment of the requirements of the candidacy of the Masters of Management in Finance and Investments University of Witwatersrand April 2016 / The aim of this paper is to investigate financial contagion in African financial markets
from the global financial crisis. Interest in this subject has grown exponentially in the
recent past in light of expanding globalization. The empirical analysis is based on
daily stock price indices of a sample of African countries in order to compute the
stock returns and find the impact of correlations between them and the US market.
The empirical evidence is based on correlation tests by Forbes& Rigobon (2002). The
analysis suggests that the larger markets by market capitalization and number of
traded stocks exhibit co-movement, whereas the smaller markets experience
financial contagion.
The results have implications for financial investment process and risk management
in terms of globalization and the unfolding of financial liberalization in Africa. / GR2018
| Identifer | oai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:wits/oai:wiredspace.wits.ac.za:10539/23852 |
| Date | January 2016 |
| Creators | Ragoleka, Seitebaleng Millicent |
| Source Sets | South African National ETD Portal |
| Language | English |
| Detected Language | English |
| Type | Thesis |
| Format | Online resource (109 pages), application/pdf |
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