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Oil prices and African stock markets co-movement: A time and frequency analysis

Author

Listed:
  • Grakolet Arnold Zamereith Gourène

    (Jean Lorougnon Guédé University
    Cheikh Anta Diop University)

  • Pierre Mendy

    (Jean Lorougnon Guédé University
    Cheikh Anta Diop University)

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.

Suggested Citation

  • Grakolet Arnold Zamereith Gourène & Pierre Mendy, 2018. "Oil prices and African stock markets co-movement: A time and frequency analysis," Journal of African Trade, Springer, vol. 5(1), pages 55-67, March.
    • Handle: RePEc:spr:jouafr:v:5:y:2018:i:1:d:10.1016_j.joat.2018.03.002
    DOI: 10.1016/j.joat.2018.03.002
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    Keywords

    African stock markets; OPEC oil prices; Co-movement; Wavelet Coherence;
    All these keywords.

    JEL classification:

    • F3 - International Economics - - International Finance
    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • G1 - Financial Economics - - General Financial Markets

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