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Essays on Stock Markets in Sub-Saharan Africa

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Essays on Stock Markets in Sub-Saharan Africa University of the Western Cape Faculty of Economics and Management Sciences Department of Economics ESSAYS ON STOCK MARKETS IN SUB-SAHARAN AFRICA Achiapo Jessica Lisette ATSIN Supervisor: Prof Matthew K. Ocran Submitted in full fulfilment of the requirements for the degree of Doctor of Philosophy in Economics of the University of the Western Cape, December 2017 ACKNOWLEDGEMENTS I would like to express sincere gratitudes to: • My supervisor Prof Matthew K. Ocran for his patience, invaluable support, guidance and most of all his time and willingness to assist me in the completion of this thesis; • My parents Leon and Etti Dia Atsin, for their unending financial, moral and spiritual support throughout my studies; • My brother Christian Atsin, for sharing his statistics and mathematics expertise; • My colleagues at the Economics department of the University of the Western Cape. i http://etd.uwc.ac.za/ DECLARATION I, ACHIAPO JESSICA LISETTE ATSIN (3580919), hereby declare that the thesis for DOC- TOR OF PHILOSOPY in ECONOMICS is my own work and that it has not previously been submitted to another university or for another qualification. ACHIAPO JESSICA LISETTE ATSIN ii http://etd.uwc.ac.za/ ABSTRACT The main objective of this thesis was to closely examine several financial 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 fi- 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 first essay, which investigated stock price co-movements and the volatility linkages between selected Sub-Saharan African markets and the key developed markets, used the Jo- hansen cointegration test, the VECM and the GARCH models for the sample period 2 January 2009 { 31 December 2016. The second essay, examining the effect of financial 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, The Johannesburg Stock Exchange, as well as the Bourse Regionale des Valeurs Mobilieres (BRVM), a regional stock exchange serving eight West African countries (i.e. Benin, Burkina Faso, Guinea Bissau, Cote d'Ivoire, Mali, Niger, Senegal and Togo).The results from the first analysis show the existence of cointegration and a long run relationship among the four African markets and between the African markets and two developed markets. There was also evidence bi-directional as well as uni-directional causality between market returns, as well as high posi- tive correlations in volatility between five pairs of markets out of 14. These findings are crucial for investors as they will affect portfolio diversification. The results from the second investi- gation show a positive correlation between stock market development and the liberalization of stock markets and the financial sector in all four countries, which advocates for the opening of financial markets to foreign investors, as well as the deepening of the sector. Additionally, a positive long-run response of stock market development to all three forms of liberalization in all the markets considered suggested that greater focus should therefore be put on increasing finan- cial openness by removing the restrictions in the financial sectors of the respective economies, iii http://etd.uwc.ac.za/ as this will promote effective delivering of credit to the private sector, efficiency in evaluating credit and surveilling the public sector, which is provided through the stock market. Finally, the analysis uncovered negative correlation between inflation and stock market development in all four markets, suggesting that policy makers in these countries should pay special atten- tion to inflation targeting policies in order to positively contribute to enhancing these markets. The results from the third analysis showed that the four Sub-Saharan African stock markets are still relatively illiquid despite the efforts made to improve the markets' microstructure and functioning. The results also identified the discount rate, domestic market volatility and global investors' confidence as common determinants of stock market liquidity in the four markets. These findings suggest that maintaining macroeconomic stability as well as keeping an eye on global events could contribute to improving the level of liquidity in Sub-Saharan African countries. iv http://etd.uwc.ac.za/ Contents List of Tables 1 List of Figures 1 ACKNOWLEDGEMENTS i DECLARATION ii ABSTRACT iii 1 INTRODUCTION 1 1.1 Background . 1 1.2 Objectives of the study . 3 1.3 Relevance . 4 1.4 Structure of the thesis . 4 2 STOCK PRICE CO-MOVEMENTS AND VOLATILITY LINKAGES IN SUB-SAHARAN AFRICAN STOCK MARKETS 5 2.1 INTRODUCTION . 5 v http://etd.uwc.ac.za/ CONTENTS vi 2.1.1 Background and problem statement . 5 2.1.2 Objectives of the study . 7 2.1.3 Relevance of the study . 8 2.1.4 Structure of the chapter . 8 2.2 OVERVIEW OF THE MARKETS AND SOURCES OF LINKAGES . 10 2.2.1 Evolution of key stock markets in Sub-Saharan Africa . 10 2.2.2 Existing regional trade links . 24 2.2.3 Financial linkages . 28 2.2.4 Conclusion . 31 2.3 LITERATURE REVIEW . 34 2.3.1 Introduction . 34 2.3.2 Stock Price co-movements . 34 2.3.3 Volatility Linkages . 55 2.3.4 Conclusion . 66 2.4 METHODOLOGY . 68 2.4.1 Introduction . 68 2.4.2 Analytical Framework . 68 2.4.3 Model Specification . 79 2.4.4 Data and descriptive statistics . 81 2.5 EMPIRICAL ANALYSIS AND FINDINGS . 85 2.5.1 Stock price co-movements . 85 http://etd.uwc.ac.za/ CONTENTS vii 2.5.2 Volatility linkages . 108 2.5.3 Discussion of the results . 112 2.6 CONCLUSION AND RECOMMENDATIONS . 119 2.6.1 Summary of findings . 119 2.6.2 Implications and Policy Recommendations . 122 2.6.3 Limitations of the study and areas of further research . 122 Appendix A 133 3 FINANCIAL LIBERALISATION AND THE DEVELOPMENT OF STOCK MARKETS IN SUB-SAHARAN AFRICA 141 3.1 INTRODUCTION . 141 3.1.1 Background and problem statement . 141 3.1.2 Objectives of the study . 144 3.1.3 Relevance . 144 3.1.4 Structure of the chapter . 145 3.2 EVOLUTION OF FINANCIAL LIBERALIZATION IN SUB-SAHARAN AFRICA146 3.2.1 Introduction . 146 3.2.2 Capital account liberalization . 147 3.2.3 Stock market liberalization . 154 3.2.4 Financial sector liberalization . 160 3.2.5 Conclusion . 169 3.3 LITERATURE REVIEW . 170 http://etd.uwc.ac.za/ CONTENTS viii 3.3.1 Introduction . 170 3.3.2 Theoretical Literature . 170 3.3.3 Empirical literature . 178 3.3.4 Conclusion . 190 3.4 METHODOLOGY . 192 3.4.1 Introduction . 192 3.4.2 Analytical framework . 192 3.4.3 Model Specification . 201 3.4.4 Data and descriptive statistics . 202 3.5 EMPIRICAL ANALYSIS AND FINDINGS . 209 3.5.1 Introduction . 209 3.5.2 Unit root tests . 209 3.5.3 Capital account liberalization and stock market development . 210 3.5.4 Stock Market liberalization and stock market development . 216 3.5.5 Financial sector liberalization and stock market development . 223 3.5.6 Discussion of the results . 229 3.5.7 Conclusion . 230 3.6 CONCLUSION AND RECOMMENDATIONS . 233 3.6.1 Summary of findings . 233 3.6.2 Implications and policy recommendations . 236 3.6.3 Limitations of the study and areas of further research . 237 http://etd.uwc.ac.za/ CONTENTS ix Appendix B 245 4 THE DETERMINANTS OF STOCK MARKET LIQUIDITY: A MARKOV SWITCHING VECTOR AUTOREGRESSIVE APPROACH 262 4.1 INTRODUCTION . 262 4.1.1 Background and problem statement . 262 4.1.2 Objectives of the study . 264 4.1.3 Relevance . 265 4.1.4 Structure of the chapter . 265 4.2 MARKET STRUCTURE AND STOCK MARKET LIQUIDITY IN SUB-SAHARAN AFRICA . 266 4.2.1 Introduction . 266 4.2.2 Bourse R´egionaledes Valeurs Mobili`eres(BRVM) . 266 4.2.3 Johannesburg Stock Exchange (JSE) . 270 4.2.4 Nairobi Stock Exchange (NSE) . 274 4.2.5 Nigeria Stock Exchange (NGSE) . 278 4.2.6 Conclusion . 282 4.3 LITERATURE REVIEW . 284 4.3.1 Introduction . 284 4.3.2 Theoretical literature . 284 4.3.3 Empirical literature . 293 4.3.4 Conclusion . 306 http://etd.uwc.ac.za/ CONTENTS x 4.4 METHODOLOGY . 308 4.4.1 Introduction . 308 4.4.2 Analytical framework . 308 4.4.3 Model Specification . ..
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