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

Author

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  • Oussama Tilfani

    (Cadi Ayyad University, Faculty of Sciences and Techniques, Marrakech, Morocco)

  • My Youssef El Boukfaoui

    (Cadi Ayyad University, Faculty of Sciences and Techniques, Marrakech, Morocco)

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.

Suggested Citation

  • Oussama Tilfani & My Youssef El Boukfaoui, 2019. "Multifractal Analysis of African Stock Markets During the 2007–2008 US Crisis," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 22(04), pages 1-31, December.
    • Handle: RePEc:wsi:rpbfmp:v:22:y:2019:i:04:n:s021909151950022x
    DOI: 10.1142/S021909151950022X
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    Cited by:

    1. Adeabah, David & Abakah, Emmanuel Joel Aikins & Tiwari, Aviral Kumar & Hammoudeh, Shawkat, 2023. "How far have we come and where should we go after 30+ years of research on Africa's emerging financial markets? A systematic review and a bibliometric network analysis," Emerging Markets Review, Elsevier, vol. 55(C).

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