Beginning an African Stock Markets Integration? A Wavelet Analysis

Grakolet Arnold Zamereith Gourene (), Pierre Mendy () and Lanciné Diomande ()
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Grakolet Arnold Zamereith Gourene: Jean Lorougnon Guédé University, Côte d'Ivoire, Postal: Laboratory of Research in Economics and Management, Jean Lorougnon Guédé University, P.O., Box V 25 Daloa, Cote d’Ivoire
Pierre Mendy: Cheikh Anta Diop University, Sénégal, Postal: Laboratory of Mathematics of Decision and Numerical Analysis, Cheikh Anta Diop University, P.O., Box 5005 Dakar-Fann, Sénégal
Lanciné Diomande: Jean Lorougnon Guédé University, Côte d'Ivoire, Postal: Laboratory of Research in Economics and Management, Jean Lorougnon Guédé University, P.O., Box V 25 Daloa, Cote d’Ivoire

Journal of Economic Integration, 2019, vol. 34, issue 2, 370-394

Abstract: This is a study on the integration between the six largest African stock markets at different timescales. The study determines whether the various measures and reforms undertaken to integrate the African stock markets have been effective. Wavelet methods and the Diebold and Yilmaz (2012) spillovers index were used. This approach allows an analysis in both time and frequency. The study results reveal that the integration of African stock exchanges is low at smaller time scales but tends to grow at larger timescales. Despite all the reforms, the transmission of financial information from one market to other remains slow. However, large-scale integration appears to decline in recent years. More effective policies are therefore needed for faster transmission and more efficient integration of African financial markets as well as for promoting exchanges between African stock markets.

Keywords: African Stock Markets Integration; Wavelet Multiple Correlation; Generalized VAR; Time scales (search for similar items in EconPapers)
JEL-codes: C01 F30 G01 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:ris:integr:0775

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