Can crude oil price returns drive stock returns of oil producing countries in Africa? Evidence from bivariate and multiple wavelet

Emmanuel Asafo-Adjei, Anokye M. Adam and Patrick Darkwa

Macroeconomics and Finance in Emerging Market Economies, 2024, vol. 17, issue 1, 59-77

Abstract: We examine the time-frequency lead-lag relationships and degree of integration between crude oil price returns and stock returns of six oil-producing countries in Africa – Nigeria, Egypt, Ghana, Tunisia, South Africa and Morocco. The study employs daily data from January 2011 to October 2020, inclusive of the COVID-19 pandemic period, using bivariate and multiple wavelet. Generally, there is low interdependence between crude oil price returns and stock returns. We advocate that in periods of crude oil price shocks on other stock markets, African stocks provide diversification opportunities. Thus, a portfolio with African stocks offers immunity to global oil price shocks.

Date: 2024
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/17520843.2021.1953864 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:macfem:v:17:y:2024:i:1:p:59-77

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/REME20

DOI: 10.1080/17520843.2021.1953864

Access Statistics for this article

Macroeconomics and Finance in Emerging Market Economies is currently edited by Subrata Sarkar and Ashima Goyal

More articles in Macroeconomics and Finance in Emerging Market Economies from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().