Proceedings of 9th Annual London Business Research Conference
4 - 5 August 2014, Imperial College, London, UK, ISBN: 978-1-922069-56-6
The Global Financial Crisis (GFC) and the Importance of
Country and Industry Factors in African Stock Returns
Nicholas Addai Boamah, Geoffrey Loudon and Edward J. Watts
Risk sharing opportunities and international diversification benefits crucially
depend on the relative importance of global and national factors. By
decomposing the variance of African stock market index returns into global and
country specific components, we show that national effects dominate. However,
global effects have recently become more important and we identify that
significant structural breaks occurred during the Global Financial Crisis (GFC).
Also, the impact of the GFC on the African markets was largely through the real
sector partly because most of the African markets have low levels of financial
integration with the developed markets.
Keywords: Country Effects, Global Industry Effects, Structural Breaks, Global Financial
Crisis, Africa
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Nicholas Addai Boamah, Department of Applied Finance and Actuarial Studies, Faculty of Business and
Economics, Macquarie University, Sydney, Australia