Munich Personal RePEc Archive

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

Gourène, Grakolet Arnold Zamereith and Mendy, Pierre and Ake N'gbo, Gilbert Marie (2017): Multiple time-scales analysis of global stock markets spillovers effects in African stock markets.

This is the latest version of this item.

[img]
Preview
PDF
MPRA_paper_80868.pdf

Download (493kB) | Preview

Abstract

This paper examines the spillovers in time and frequency from emerging (Brazil, Russia, India, China), developed (US, UK, France, Germany and Japan) stock markets and oil prices toward seven African stock markets. The spillovers are examined from 2005 to 2016, taking into account the recent financial crises and the recent oil prices 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 relationships between African stock markets, world stock markets and oil prices depend on time scales. African stock markets could be a way of capital diversification for global stock markets at scale 1 (2-4 weeks) and for investors active in the oil market at scale 2 (4-8 weeks).

Available Versions of this Item

UB_LMU-Logo
MPRA is a RePEc service hosted by
the Munich University Library in Germany.