Cointegration and Interdependence of West African Stock Markets
This paper aims at analysing the potential long-run and short-run linkage and relationships between the market capitalizations of the WAEMU, Ghana, and Nigeria stock markets using annual data from 1993 to 2020. The results of the preliminary tests reveal a correlation coefficient ranging from -0.006 to -0.614 which states that the Ghanaian and Nigerian stock markets have substantial correlations with the WAEMU stock market. The results of the cointegration estimates show a substitution effect between the WAEMU and Ghanaian markets and a complementarity effect between WAEMU and Nigerian markets. Furthermore, the results suggest that the stock markets are interconnected and the link depends on the proximity between them.
