Multifractal Analysis of African Stock Markets During the 2007–2008 US Crisis
Oussama Tilfani () and
My Youssef El Boukfaoui ()
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My Youssef El Boukfaoui: Cadi Ayyad University, Faculty of Sciences and Techniques, Marrakech, Morocco
Review of Pacific Basin Financial Markets and Policies (RPBFMP), 2019, vol. 22, issue 04, 1-31
In this paper, we examine the effects of subprime crisis on the largest African stock markets (South Africa, Nigeria, Egypt, and Morocco) by testing the fractal market hypothesis. We use a rolling window Multifractal Detrended Fluctuation Analysis, and find decline in local Hurst exponent and an increase in short-term trading activity for all considered stock markets during the global financial crisis. We furthermore investigate the interrelationships of African and the American stock markets using multi-scale contagion test. Findings suggest that the cross-correlation of African stock markets increases with American markets becoming higher during the crisis sub-period. However, the presence of contagion or interdependence effects are country and time horizon-dependent. Implications of the results are discussed.
Keywords: Multifractal Detrended Fluctuation Analysis (MF-DFA); fractal market hypothesis; contagion; interdependence; African stock markets (search for similar items in EconPapers)
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