This paper presents the current stock markets’ situation of East African markets compared to Johannesburg Stock Exchange (JSE). The study uses weekly price indices of Kenya, Tanzania, Rwanda, and Uganda, South Africa as a performance benchmark for the African market. The period used is from 17th January 2008 to 31st March 2017. The stock indices’ returns results show in general that there is relatively moderate-to-low volatility. The Dar-es-Salaam stock index and the Johannesburg stock index show a higher volatility relative to the other stock market indices with the JSE showing the highest return of 0.117089 when compared to the East African market indices. The Vector Autoregressive (VAR) and Granger causality results capture the linear interdependencies among the given markets and illustrate that JSE has a low contributory impact on the returns on the East African markets. Besides, evidence shows that East African markets are independent, thus offering regional diversification benefits. However, integration is still underway.
Key words: East African stock markets, stock market integration, vector autoregressive, Johannesburg stock exchange, correlation coefficient, volatility.
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