International stock market linkages: the case of Zimbabwe and South Africa

Manungo, Rusununguko Conwell
Journal Title
Journal ISSN
Volume Title
The aim of this paper is twofold. First, it aims to investigate whether or not there are both short run and long run bilateral linkages between the Zimbabwe Stock Exchange (ZSE) and the Johannesburg Stock Exchange (JSE) markets. Secondly, it aims to find out whether or not the extent of linkages between the two markets has been changing over time. The results of the study can be stated simply: - correlation coefficients calculated for the two sub-periods 1980(1)–1990(12) (apartheid in South Africa and independence in Zimbabwe, but still some controls on the economy) and 1991(1)–1999(12) (death of apartheid in South Africa and financial liberalization in Zimbabwe) show that they were not constant overtime. The extent of the linkage has been increasing overtime. Bivariate co-integration tests indicate that there is a common trend linking the Zimbabwe Stock Exchange and the Johannesburg Stock Exchange stock price indices in the period 1991–1999, but none was found for the period 1980-1990. The results suggest that the interrelations between the two markets have increased overtime. They are in line with macroeconomic trends that have taken place since 1991, which were sufficient to strengthen the linkages between the markets, including capital market liberalization, securitization of national markets and a significant increase in cross - listing of stocks of multinational and national companies. This paper thus provides new empirical evidence on international stock market linkages between the Zimbabwe Stock Exchange and the Johannesburg Stock Exchange
Thesis submitted in fulfillment of the requirements for the degree of Master of Management in Finance & Investment Faculty of Commerce, Law and Management Wits Business School University of Witwatersrand 2017
Manungo, Rusununguko Conwell, (2017) International stock market linkages :the case of Zimbabwe and South Africa, University of the Witwatersrand, Johannesburg,