Abstract
<b>Purpose</b> <p>The purpose of this paper is to examine the nature and extent of linkages between African stock markets and the relationships between these markets and that of regional and global indices.</p> <b>Design/methodology/approach</b> <p>The monthly returns of S&P/IFC return indices for ten African countries over the period 1998-2007 were analyzed. The index return volatility was decomposed into three components following Barari and the contributions of regional and global market movements to the local index volatility were estimated.</p> <b>Findings</b> <p>It was found that African stock markets are still segmented from global markets in spite of recent structural adjustments and that the local index volatility is largely country-specific, which can be diversified away by cross-country diversification.</p> <b>Originality/value</b> <p>This paper provides further evidence on stock market integration in emerging markets. The finding suggests that African stock markets, with the exception of South Africa, are still segmented from global markets. Thus, recent structural adjustment and liberalisation policies have not reduced stock market segmentation in Africa. This paper therefore has implications for policy makers and international investors.</p>