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Information Flow Between the Zimbabwe Stock Exchange and the Johannesburg Stock Exchange: A Transfer Entropy Approach

Organizations and markets in emerging economies, 2021-01, Vol.12 (2), p.353-376 [Peer Reviewed Journal]

2021. This work is published under http://creativecommons.org/licenses/by/4.0/ (the “License”). Notwithstanding the ProQuest Terms and Conditions, you may use this content in accordance with the terms of the License. ;ISSN: 2029-4581 ;EISSN: 2345-0037 ;DOI: 10.15388/omee.2021.12.60

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  • Title:
    Information Flow Between the Zimbabwe Stock Exchange and the Johannesburg Stock Exchange: A Transfer Entropy Approach
  • Author: Nyakurukwa, Kingstone
  • Subjects: American dollar ; Crude oil ; Crude oil prices ; Currency ; Econometrics ; Economic growth ; Economic reform ; information flow ; integration ; Investments ; Johannesburg Stock Exchange ; Liberalization ; New stock market listings ; Sanctions ; Securities markets ; Stock exchanges ; transfer entropy ; Zimbabwe Stock Exchange
  • Is Part Of: Organizations and markets in emerging economies, 2021-01, Vol.12 (2), p.353-376
  • Description: The purpose of this paper is to determine whether there was information flow between the stock markets of Zimbabwe and South Africa during the time the Zimbabwean economy was dollarized. The author used econophysics-based Shannonian and Rényian transfer entropy estimates to establish the flow of information between the markets in tranquil periods as well as at the tails of return distributions. The only significant Shannonian transfer entropy estimate was from Johannesburg Stock Exchange (JSE) resources index to Zimbabwe Stock Exchange (ZSE) mining index. The findings show that the only significant tail dependence was between JSE All Share Index (JALSH) and ZSE Mining on the one hand, and between JSE Resources and ZSE Mining on the other hand. However, the magnitudes of the effective transfer entropy values are relatively low, showing that there are weak linkages between the Zimbabwe Stock Exchange and the Johannesburg Stock Exchange. The lack of significant information flows between the exchanges of the two countries offer opportunities to fund managers for portfolio diversification. From a government point of view, it is imperative that the tempo of economic and political reform be accelerated so that integration between the markets can be fast-tracked. Integrated markets will benefit Zimbabwe as this will reduce the cost of equity and accelerate economic growth.
  • Publisher: Vilnius: Vilnius University Press
  • Language: English
  • Identifier: ISSN: 2029-4581
    EISSN: 2345-0037
    DOI: 10.15388/omee.2021.12.60
  • Source: Alma/SFX Local Collection
    Coronavirus Research Database
    ProQuest Central
    DOAJ Directory of Open Access Journals
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