Abstract This paper uses fractional integration and cointegration for the period of January 2000–June 2018 to investigate the stochastic properties of the bilateral linkages between stock markets in Africa and selected international markets to establish if markets in Africa co-move with the rest of the world. Results from the univariate analysis show that there exists a high degree of persistence with orders of integration about 1 or higher than 1, implying that shocks to these stock markets have significant permanent effects. Concerning bivariate results and testing for cointegration, evidence of cointegration is found for Egypt and Kenya against the UK and the Europe Zone. There are some other cases where partial evidence of cointegration is found, though in general, in all cases, we observe that the degree of cointegration is very low, implying very long periods of convergence.

中文翻译：

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关于非洲新兴股票市场和全球市场之间的联系：分数整合和协整的证据

摘要本文使用2000年1月至2018年6月的分数积分和协整方法研究了非洲股票市场与某些国际市场之间的双边联系的随机性质，以确定非洲市场是否与世界其他地区共同发展。 。单变量分析的结果表明，存在高度的持续性，积分阶数约为1或大于1，这表明对这些股票市场的冲击具有重大的永久性影响。关于双变量结果和协整检验，埃及和肯尼亚针对英国和欧洲地区发现了协整证据。在其他一些情况下，可以找到部分部分的协整证据，尽管总的来说，在所有情况下，我们都发现协整度很低，