EconPapers    
Economics at your fingertips  
 

Multifractal Analysis of African Stock Markets During the 2007–2008 US Crisis

Oussama Tilfani () and My Youssef El Boukfaoui ()
Additional contact information
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

Abstract: 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)
Date: 2019
References: Add references at CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S021909151950022X
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:wsi:rpbfmp:v:22:y:2019:i:04:n:s021909151950022x

Ordering information: This journal article can be ordered from

DOI: 10.1142/S021909151950022X

Access Statistics for this article

Review of Pacific Basin Financial Markets and Policies (RPBFMP) is currently edited by Cheng-few Lee

More articles in Review of Pacific Basin Financial Markets and Policies (RPBFMP) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().

 
Page updated 2020-10-20
Handle: RePEc:wsi:rpbfmp:v:22:y:2019:i:04:n:s021909151950022x