Philosophiae Doctor - PhD (Economics) / The main objective of this thesis was to closely examine several nancial and economic aspects
of the stock markets in Sub-Saharan Africa. Thus, the objectives of this thesis were to explore
the interdependence, the time-varying conditional correlation and the volatility linkages among
Sub-Saharan African and developed stock markets; to investigate the relationship between -
nancial liberalization and the development of stock markets; and to examine the patterns of the
aggregate market liquidity and the relevance of the mainstream determinants of market liquidity
in the chosen Sub-Saharan African stock markets. The study was composed of three standalone
essays. The rst essay, which investigated stock price co-movements and the volatility linkages
between selected Sub-Saharan African markets and the key developed markets, used the Johansen
cointegration test, the VECM and the GARCH models for the sample period 2 January
2009 { 31 December 2016. The second essay, examining the e ect of nancial liberalization on
the development of stock markets in Sub-Saharan Africa, employed the Bayesian VAR for the
sample period 1975Q1 { 2014Q4. Lastly, the third essay, which investigated the determinants
of liquidity levels in Sub-Saharan African stock markets employed the Markov Switching Vector
Autoregressive model for the sample period 2 January 2009 { 31 December 2016.This study
aimed at contributing to the already existing literature by focusing on analysing four key stock
markets in the region, namely the Nigerian Stock Exchange, the Kenyan Securities Exchange.
| Identifer | oai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:uwc/oai:etd.uwc.ac.za:11394/6450 |
| Date | January 2018 |
| Creators | Atsin, Achiapo Jessica Lisette |
| Contributors | Ocran, Matthew K |
| Publisher | University of the Western Cape |
| Source Sets | South African National ETD Portal |
| Language | English |
| Detected Language | English |
| Rights | University of the Western Cape |
Page generated in 0.0024 seconds