Tables index


Cointegration Analysis of Major African Stock Markets

Jimbo Henri Claver, Bruno Dinga, Fono Louis, Shu Felix, Andjiga Gabriel

International Journal of Econometrics and Financial Management. 2019, 7(1), 37-45 doi:10.12691/ijefm-7-1-5
  • Table 1. Descriptive Statistics for weekly stock returns
  • Table 2. Correlation matrix for weekly returns
  • Table 3. Test results (log levels and first difference)
  • Table 4. Engle-Granger test for cointegration
  • Table 5. Critical values of ADF test for residuals
  • Table 6. Pairwise Johansen Cointegration test result using AIC
  • Table 7. Pairwise Granger causality test results
  • Table 8. ECM for cointegrated variables