<< N°157
| N°157 | ||
| Issue Q1 2019 | ||
| Multiple time-scales analysis of global stock markets spillovers effects in African stock markets | ||
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Grakolet Arnold Z.Gourčne Pierre Mendy Gilbert Marie N'gbo Ake |
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| This paper examines the spillovers in time and frequency from emerging (Brazil, Russia, India, China) and developed (US, UK, France, Germany and Japan) stock markets and oil prices toward seven African stock markets. The examined spillovers are from 2005 to 2018 and take into account, both, the recent financial crises and the oil price fall. We combine the generalized Vector AutoRegressive (VAR) framework and the Maximum Overlap Discrete Wavelet Transform (MODWT) to obtain the spillovers at different time scales. The results show that the spillovers toward African stock markets depend on time scales. We also found that the various measures taken to open the African stock markets to global finance have made some little improvements while the integration in African stock markets remains weak and located at large scales. African stock markets could therefore be a means of capital diversification for global stock markets and oil market, particularly at scale 1 (2–4 weeks). |
Abstract |
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| African stock markets ; Spillovers ; Time scales ; MODWT ; Generalized VAR ; | Keywords | |
| F3 ; C1 ; G1 ; | JEL classification | |
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