Multiple time-xcales analysis of global stock markets spillovers effects in African stock markets

Grakolet Arnold Zamereith Gourène, Pierre Mendy and Gilbert Marie Ake N'gbo

MPRA Paper from University Library of Munich, Germany

Abstract: This paper investigates the time and frequency interdependence relationship between seven African stock markets, emerging stock markets, developed stock markets and Japan) and oil prices. The spillovers are examined from 2005 to 2016 taking into account the recent financial crisis and the recent oil prices fall. We combine the generalized VAR framework proposed by Diebold and Yilmaz (2012) and the Maximal Overlap Discrete Wavelet Transform (MODWT) to obtain the spillovers at different time scales. Result show that African financial markets integration with themselves and the outside depends on the time scales, the economic relations, the world financial markets state. Relationships with global financial markets are generally weak in the short run but tend to grow in the long run. The interdependence with oil prices is strong in short and medium run but weak in long run. African stock markets could be an opportunity of capital diversification in short run.

Keywords: African Stock Markets; Interdependence; Time Scales; Generalized VAR; Financial Crisis (search for similar items in EconPapers)
JEL-codes: C02 F02 F3 (search for similar items in EconPapers)
Date: 2017-03-16
New Economics Papers: this item is included in nep-afr
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https://mpra.ub.uni-muenchen.de/77632/1/MPRA_paper_77632.pdf original version (application/pdf)
https://mpra.ub.uni-muenchen.de/79695/1/MPRA_paper_77632.pdf revised version (application/pdf)
https://mpra.ub.uni-muenchen.de/80868/1/MPRA_paper_80868.pdf revised version (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:77632

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