文章基本信息

标题：Oil prices and African stock markets co-movement: A time and frequency analysis
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作者：Grakolet Arnold Zamereith Gourène ; Grakolet Arnold Zamereith Gourène ; Pierre Mendy 等
期刊名称：Journal of African Trade
印刷版ISSN：2214-8515
电子版ISSN：2214-8523
出版年度：2018
卷号：5
期号：1-2
页码：55-67
DOI：10.1016/j.joat.2018.03.002
语种：English
出版社：Elsevier
摘要：AbstractThis 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.
关键词：African stock markets;OPEC oil prices;Co-movement;Wavelet Coherence