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

Author

Listed:
  • Grakolet Arnold Z.Gourène
  • Pierre Mendy
  • Gilbert Marie N'gbo Ake

Abstract

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).

Suggested Citation

  • Grakolet Arnold Z.Gourène & Pierre Mendy & Gilbert Marie N'gbo Ake, 2019. "Multiple time-scales analysis of global stock markets spillovers effects in African stock markets," International Economics, CEPII research center, issue 157, pages 82-98.
    • Handle: RePEc:cii:cepiie:2019-q1-157-6
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    File URL: https://www.sciencedirect.com/science/article/pii/S2110701717301944
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    Citations

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    Cited by:

    1. Xi, Zenglei & Yu, Jinxiu & Sun, Qingru & Zhao, Wenqi & Wang, He & Zhang, Shuo, 2023. "Measuring the multi-scale price transmission effects from crude oil to energy stocks: A cascaded view," International Review of Financial Analysis, Elsevier, vol. 90(C).
    2. Boakye, Robert Owusu & Mensah, Lord Kwaku & Kang, Sang Hoon & Osei, Kofi Acheampong, 2023. "Foreign exchange market return spillovers and connectedness among African countries," International Review of Financial Analysis, Elsevier, vol. 86(C).
    3. Doho, Libaud Rudy Aurelien & Somé, Sobom Matthieu & Banto, Jean Michel, 2023. "Inflation and west African sectoral stock price indices: An asymmetric kernel method analysis," Emerging Markets Review, Elsevier, vol. 54(C).
    4. Bales, Stephan, 2022. "Sovereign and bank dependence in the eurozone: A multi-scale approach using wavelet-network analysis," International Review of Financial Analysis, Elsevier, vol. 83(C).
    5. Mensi, Walid & Vo, Xuan Vinh & Kang, Sang Hoon, 2023. "Quantile spillovers and connectedness analysis between oil and African stock markets," Economic Analysis and Policy, Elsevier, vol. 78(C), pages 60-83.
    6. Xiaojing Cai & Shigeyuki Hamori & Lu Yang & Shuairu Tian, 2020. "Multi-Horizon Dependence between Crude Oil and East Asian Stock Markets and Implications in Risk Management," Energies, MDPI, vol. 13(2), pages 1-24, January.
    7. Bales, Stephan & Burghartz, Kaspar & Burghof, Hans-Peter & Hitz, Lukas, 2023. "Does the source of uncertainty matter? The impact of financial, newspaper and Twitter-based measures on U.S. banks," Research in International Business and Finance, Elsevier, vol. 65(C).
    8. Ngo Thai Hung & Xuan Vinh Vo, 2023. "Multi-scale Features of Interdependence Between Oil Prices and Stock Prices," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 30(3), pages 475-504, September.

    More about this item

    Keywords

    African stock markets; Spillovers; Time scales; MODWT; Generalized VAR;
    All these keywords.

    JEL classification:

    • F3 - International Economics - - International Finance
    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • G1 - Financial Economics - - General Financial Markets

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