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Regionalization versus Internationalization of African Stock Markets: A frequency-time domain analysis

Author

Listed:
  • Gideon Boako
  • Paul Alagidede

Abstract

This paper examines regional and global co-movemnt of Africa’s stock markets using the three-dimensional continuous Morlet wavelet transform methodology. The analyses which are done in segments investigate co-movements with global markets; bilateral exchange rates expressed in US dollars and euro; and four regional markets in Africa. First, we find evidence of stronger co-movements broadly narrowed […]

Suggested Citation

  • Gideon Boako & Paul Alagidede, 2016. "Regionalization versus Internationalization of African Stock Markets: A frequency-time domain analysis," Working Papers 642, Economic Research Southern Africa.
    • Handle: RePEc:rza:wpaper:642
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    File URL: https://econrsa.org/wp-content/uploads/2022/06/working_paper_642.pdf
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    Cited by:

    1. Kumah, Seyram Pearl & Odei-Mensah, Jones, 2021. "Are Cryptocurrencies and African stock markets integrated?," The Quarterly Review of Economics and Finance, Elsevier, vol. 81(C), pages 330-341.
    2. Peterson Owusu Junior & Anokye M. Adam & George Tweneboah, 2017. "Co-movement of real exchange rates in the West African Monetary Zone," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1351807-135, January.

    More about this item

    Keywords

    Africa; Financial Markets; Globalization; investment; Monetary Policy;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • M16 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Administration - - - International Business Administration

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