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

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).

Auteur(s) : Grakolet Arnold Z. Gourène , Pierre Mendy , Gilbert Marie N’gbo Ake
Pages : 82–98
Année de publication : 2019
Revue : International Economics
N° de volume : 157
Type : Article
Mise en ligne par : MENDY Pierre