Global Journal of Management and Business Research, B: Economics and Commerce, Volume 23 Issue 3

11 Global Journal of Management and Business Research Volume XXIII Issue III Version I Year 2023 ( ) B © 2023 Global Journals Table 1: Descriptive Statistics and Correlation Matrix of Variables Source: Prepared by the Authors based on the Results of the Eviews Software Table 1 above shows that over the 28 years of observation, the time series behave well overall. Indeed, the data do not suffer from any "outlier" problems insofar as the mean of each series and its median are roughly equal. A remarkable observation from the descriptive statistics is that the time series follows a normal distribution, with the exception of the Ghana stock market. Indeed, the P-value of the Jarque-Bera statistic is below the 5% threshold. With regard to the correlation matrix between the series, the results provide insight into the negative long-run linkages between the UEMOA stock market and the other key markets, notably Ghana and Nigeria. b) Results of the Stationarity and Cointegration Tests The study of stationarity is essential for the validity of a time series regression. Indeed, this analysis is a priori necessary to avoid spurious regressions. In the context of our analysis, we will use formal tests, in particular the Augmented Dickey-Fuller (ADF) test of Dickey and Fuller (1981), and the Phillips-Perron (PP) test of Phillips and Perron (1988). Table 2: Unit Root Test (ADF & PP) Source: Prepared by the Authors based on the Results of the Eviews Software As the time series are stationary in the first difference, we will attempt in the following to confirm the presence of one or more cointegration relationships between the series. In the context of this study, we have used the Johansen (1988) cointegration test. Indeed, this test makes it possible to estimate the following stochastic model: ∆Yt = A0 + A1∆Yt−1 + A2∆Yt−2 + ⋯ + Ap∆Yt−p+1 + πYt−1 + ε t (2) Where p is a matrix written as follows: π = ∑ At−1 To perform this test, the Johansen statistic is calculated by the following expression: λ trace = n ∑ ln (1 − λ i) ki=r+1 (3) Where n is the number of observations; r denotes the order of the matrix π; k is the number of variables; λ i denotes the values of the matrix π. The choice of the Johansen test is justified by the fact that this test is an improved version of the Engle-Granger test. It avoids the problem of choosing a WAEMU GHA NGA Mean 13.594 8.858 12.936 Median 12.893 6.777 11.900 Maximum 28.877 34.886 30.508 Minimum 0.234 0.582 2.497 Std. Dev. 9.180 8.482 6.127 Skewness 0.145 1.441 0.999 Kurtosis 1.730 4.710 4.062 Jarque-Bera 1.977 13.115 5.981 Probability 0.371 0.001 0.050 Sum 380.650 248.047 362.235 Sum Sq. Dev. 2275.752 1942.551 1013.676 Observations 28 28 28 WAEMU 1.000 GHA -0.614 1.000 NGA -0.006 0.355 1.000 Variable ADF-I (0) ADF-I (1) PP-I (0) PP-I (1) t-Statistic Prob. t-Statistic Prob. t-Statistic Prob. t-Statistic Prob. WAEMU -1.557 0.489 -4.905 0.000 -1.540 0.4984 -4.908 0.000 Ghana -2.541 0.117 -11.372 0.000 -1.373 0.153 -10.282 0.000 Nigeria -0.782 0.367 -5.598 0.000 -0.883 0.324 -10.438 0.000 Cointegration and Interdependence of West African Stock Markets