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Asian Journal of Economics, Business and Accounting, ISSN: 2456-639X,Vol.: 7, Issue.: 3


Dynamics of Stock Markets Interdependence in the Pre-and Post Global Financial Crisis Period: Evidence from Toda-Yamamoto Causality Test


Abdul-Nasir T. Yola1,2*, Shazida Jan Mohd Khan3 and Mohamad Helmi Hidthir3

1Department of Economics and Development Studies, Federal University Dutse, Nigeria.

2Universiti Utara Malaysia, Malaysia.

3School of Economics, Finance and Banking, Universiti Utara Malaysia, Malaysia.

Article Information


(1) Dr. Satinder Bhatia, Indian Institute of Foreign Trade, New Delhi, India.


(1) Hussin Jose Hejase, Al Maaref University, Lebanon.

(2) Adebimpe Otu Umoren, University of Uyo, Nigeria.

(3) R. Shenbagavalli, India.

Complete Peer review History: http://www.sciencedomain.org/review-history/25496


This paper analysed the causal relationship between the three largest African stock markets; Nigeria, South-Africa and Egypt. The analysis was conducted for two sample periods using the index of the stock markets. The pre-crisis period between January 2000-April 2008, and the crisis/post-crisis period between May 2008-December 2016. The study employed Toda and Yamamoto robust causality test. The result from the study found evidence of no causal relationship between the three selected stock markets in the pre-crisis period. In the crisis/post-crisis period, we found a unidirectional causality from South-Africa to Nigeria stock markets. Beside this, there is no evidence of causal relationship between the stock exchange markets. Therefore, the study concluded that there is no strong difference between the causal relationship in the two analysed periods which signifies benefits of diversification between the three stock exchange markets.

Keywords :

Stock markets; interdependence; causality; Toda-Yamamoto.

Full Article - PDF    Page 1-9

DOI : 10.9734/AJEBA/2018/42761

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