Oil prices and African stock markets co-movement: A time and frequency analysis

Grakolet Arnold Zamereith Gourène () and Pierre Mendy ()
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Grakolet Arnold Zamereith Gourène: Jean Lorougnon Guédé University
Pierre Mendy: Jean Lorougnon Guédé University

Journal of African Trade, 2018, vol. 5, issue 1, 55-67

Abstract: Abstract This paper examines the co-movement between OPEC (Organization of Petroleum Exporting Countries) oil prices and the six largest African stock markets. We used wavelet coherence to analyze the evolution of this relationship both in time and by frequency. Our results show that the co-movement between African stock markets and oil prices is relatively low, with the exception of emerging stock markets such as South Africa and Egypt. For most of the African stock markets, the co-movement takes place over large time scales and both during and after the U.S. financial crisis. At small scales, African stock markets could represent a means of capital diversification for active investors in the oil market.

Keywords: African stock markets; OPEC oil prices; Co-movement; Wavelet Coherence (search for similar items in EconPapers)
JEL-codes: C1 F3 G1 (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1016/j.joat.2018.03.002

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