Beginning an African Stock Markets Integration? A Wavelet Analysis

This is a study on the integration between the six largest African stock markets at different timescales. The study determines whether the various measures and reforms undertaken to integrate the African stock markets have been effective. Wavelet methods and the Diebold and Yilmaz (2012) spillovers index were used. This approach allows an analysis in both time and frequency. The study results reveal that the integration of African stock exchanges is low at smaller time scales but tends to grow at larger timescales. Despite all the reforms, the transmission of financial information from one market to other remains slow. However, large-scale integration appears to decline in recent years. More effective policies are therefore needed for faster transmission and more efficient integration of African financial markets as well as for promoting exchanges between African stock markets.

Auteur(s) : Grakolet Arnold Zamereith GOURENE, Pierre MENDY, Lanciné DIOMANDE
Pages : 370-394
Année de publication : 2019
Revue : Journal of Economic Integration
N° de volume : Vol. 34, No. 2
Type : Article
Mise en ligne par : MENDY Pierre