Beginning an African Stock Markets Integration? A Wavelet Analysis

Grakolet Arnold Zamereith Gourène and Pierre Mendy

MPRA Paper from University Library of Munich, Germany

Abstract: This paper studies the integration of the most six largest African stock markets in term of capital using theWavelet Multiple Correlation (WMC) and theWavelet Multiple Cross-Correlation (WMCC) proposed by Fernandez-Macho (2012). These methods are used to study simultaneously the correlation between several variables at different time scales. They have some advantages over previous models. Results show that the integration between the six stock markets returns remains low but tends to increase gradually in time and is greater in the long run. A diversified investment opportunity is possible in these stock markets at all scales

Keywords: African Stock Markets; Stock Markets Integration; Wavelet Multiple Correlation; Wavelet Multiple Cross-Correlation. (search for similar items in EconPapers)
JEL-codes: C1 F3 G1 (search for similar items in EconPapers)
Date: 2014
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https://mpra.ub.uni-muenchen.de/76048/1/MPRA_paper_76048.pdf original version (application/pdf)
https://mpra.ub.uni-muenchen.de/79694/1/MPRA_paper_76048.pdf revised version (application/pdf)
https://mpra.ub.uni-muenchen.de/79697/10/MPRA_paper_79697.pdf revised version (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:76048

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