Academy of Accounting and Financial Studies Journal (Print ISSN: 1096-3685; Online ISSN: 1528-2635)

Abstract

Integration of Major African Stock Markets: Evidence from Multi-Scale Wavelets Correlation

Author(s): George Tweneboah, Peterson Owusu Junior, Emmanuel K. Oseifuah

This study employ the wavelets multiple correlation and wavelets cross-correlations techniques to investigate the co-movement and interdependence structure across seven African stock markets using daily and weekly data from 2011 to 2017. The results suggest there are linkages among stock markets and this is stronger at lower frequencies (long-terms). Also, the Ghanaian stock market has a potential to lead or lag other markets at lower frequencies where there is higher degree of integration. Thus, African stock markets offer little opportunities for diversification at lower frequencies than at higher frequencies (short-terms and medium-terms).

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