Volume 5, Issue 1-2, December 2018, Pages 55 - 67
Oil prices and African stock markets co-movement: A time and frequency analysis
Authors
Grakolet Arnold Zamereith Gourène*, grakolet88@gmail.com, Pierre Mendypierre.mendy@ucad.edu.sn
Laboratory of Research in Economics and Management, Jean Lorougnon Guédé University, P.O. Box V25, Daloa 12, Côte d’Ivoire
Laboratory of Mathematics of the Decision and Numerical Analysis, Cheikh Anta Diop University, P.O. Box 5005, Dakar-Fann, Sénégal
*Corresponding author at: Laboratory of Research in Economics and Management, Jean Lorougnon Guédé University, P.O. Box V25, Daloa 12, Côte d’Ivoire, Laboratory of Mathematics of the Decision and Numerical Analysis, Cheikh Anta Diop University, P.O. Box 5005, Dakar-Fann, Sénégal.
Corresponding Author
Grakolet Arnold Zamereith Gourènegrakolet88@gmail.com
Received 21 December 2014, Revised 16 January 2018, Accepted 2 March 2018, Available Online 4 November 2018.
- DOI
- 10.1016/j.joat.2018.03.002How to use a DOI?
- Keywords
- F3; C1; G1
- Abstract
This paper examines the co-movement between OPEC (Organization of Petroleum Exporting Countries) oil prices and the six largest African stock markets. We used wavelet coherence to analyze the evolution of this relationship both in time and by frequency. Our results show that the co-movement between African stock markets and oil prices is relatively low, with the exception of emerging stock markets such as South Africa and Egypt. For most of the African stock markets, the co-movement takes place over large time scales and both during and after the U.S. financial crisis. At small scales, African stock markets could represent a means of capital diversification for active investors in the oil market.
- Copyright
- © 2018 Afreximbank. Production and hosting by Elsevier B.V. All rights reserved.
- Open Access
- This is an open access article under the CC BY-NC license (http://creativecommons.org/licences/by-nc/4.0/).
Download article (PDF)
View full text (HTML)
Cite this article
TY - JOUR AU - Grakolet Arnold Zamereith Gourène AU - Pierre Mendy PY - 2018 DA - 2018/11/04 TI - Oil prices and African stock markets co-movement: A time and frequency analysis JO - Journal of African Trade SP - 55 EP - 67 VL - 5 IS - 1-2 SN - 2214-8523 UR - https://doi.org/10.1016/j.joat.2018.03.002 DO - 10.1016/j.joat.2018.03.002 ID - Gourène2018 ER -