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

12 Global Journal of Management and Business Research Volume XXIII Issue III Version I Year 2023 ( ) B © 2023 Global Journals dependent variable and the problems created when errors are carried over from one step to the next. As such, the test can detect multiple cointegration vectors. In practice, it is necessary to determine the optimal number of lags according to the Akaike and Schwarz information criteria before applying the Johansen test. Table 3: Determining the Optimal Delay Source: Developed by the Authors based on the Results of the Eviews Software Table 4: Results of the Johansen cointegration test Source: Developed by the authors based on the results of the Eviews software Table 3 above, reveals the existence of a cointegration vector between the WAEMU, Ghana, and Nigeria stock markets. Indeed, the Trace statistic is sufficient to reject the null hypothesis at the 5% significance level. Specifically, there is a long-run equilibrium relationship between the variables in the study. This justifies the choice of our estimation methods namely: FMOLS, DOLS CCR and ECM. c) Results of the Long-Term Estimates: FMOLS, DOLS, and CCR For the rest of our analysis, we use these three estimators because of their advantage over traditional Ordinary Least Squares estimates. Indeed, these methods present more robust and reliable results, especially in small sample sizes. Table 5: Results of the Cointegration Estimators Source: Developed by the Authors based on the Results of the Eviews Software Lag LogL LR FPE AIC SC HQ 0 -249.981 NA 56760.97 19.460 19.605 19.501 1 -213.598 61.570* 6957.108* 17.353* 17.934* 17.520* 2 -207.205 9.344 8790.433 17.554 18.570 17.846 Hypothesized Trace 0.05 No. of CE(s) Eigenvalue Statistic Critical Value Prob.** None * 0.561213 38.92391 29.79707 0.0034 At most 1 0.397163 15.03541 15.49471 0.0585 At most 2 0.012279 0.358284 3.841465 0.5495 Dependent variable WEAMU stock market FMOLS DOLS CCR Coeff Prob. Coeff Prob. Coeff. Prob. Ghana -0.982* 0.0000 -1.801* 0.000 -1.016* 0.000 Nigeria 0.498 0.131 1.712* 0.008 0.584 0.141 Constante 16.282* 0.001 6.9321 0.249 15.381* 0.004 R² adjusted 0.417 0.678 0.396 Note : *, **, *** denote the rejection of the null hypothesis at the 1%, 5%, and 10% significance levels respectively Cointegration and Interdependence of West African Stock Markets The results show that in addition to the Akaike information criterion (AIC) and the Schawrz information criterion (SC), all other criteria such as the Hannan-Quinn information criterion (HQ), the Final Prediction error (FPE) and the sequential modified LR test statistic (LR), indicate an ideal delay length of 1.