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Analysis of Co-Movements in Ecowas Financial Markets of Oil Importing and Exporting Countries and the Price of Brent: A Wavelet Approach

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  • Prao Yao Séraphin
  • Anzian Kouamé Marcel
  • Djeban Koffi Mouroufie Emmanuel

Abstract

The objective of this paper is to analyze the effects of contagion, interdependence, and changes in the correlation structure, after the COVID-19 crisis, on the financial markets of the ECOWAS oil importing and exporting area and the price of BRENT. To do this, two wavelet approaches in a time-frequency domain (the local correlation wavelet (WLC) and the correlation wavelet (WC)), on daily data from January 04, 2005, to January 06, 2022, of the composite indices of the NSE, the BRVM, the GSE and the price of BRENT, are mobilized. The results mainly reveal the existence of contagion and co-movement on the one hand, and variation in the correlation structure in the post-COVID-19 era on the other. The study thus exhibits evidence of the coexistence of contagion, co-movement, and permanent change in the correlation structure between the ECOWAS financial markets and the price of BRENT before and after the COVID-19 crisis.

Suggested Citation

  • Prao Yao Séraphin & Anzian Kouamé Marcel & Djeban Koffi Mouroufie Emmanuel, 2025. "Analysis of Co-Movements in Ecowas Financial Markets of Oil Importing and Exporting Countries and the Price of Brent: A Wavelet Approach," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 17(8), pages 1-24, August.
    • Handle: RePEc:ibn:ijefaa:v:17:y:2025:i:8:p:24
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    4. Debojyoti Das & M. Kannadhasan & Aviral Kumar Tiwari & Khamis Hamed Al-Yahyaee, 2018. "Has co-movement dynamics in emerging stock markets changed after global financial crisis? New evidence from wavelet analysis," Applied Economics Letters, Taylor & Francis Journals, vol. 25(20), pages 1447-1453, November.
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    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

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