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Journal of Economic Integration 2019 June;34(2) :370-394.
Beginning an African Stock Markets Integration? A Wavelet Analysis

Grakolet Arnold Zamereith GOURENE1 Pierre MENDY2 Lanciné DIOMANDE 1

1Jean Lorougnon Guédé University, Côte d'Ivoire
2Cheikh Anta Diop University, Sénégal
Corresponding Author: Grakolet Arnold Zamereith GOURENE ,Tel: +22508416062, Email:
Copyright ©2019 Journal of Economic Integration
This is a study on the integration between the six largest African stock markets at different timescales. The study determines whether the various measures and reforms undertaken to integrate the African stock markets have been effective. Wavelet methods and the Diebold and Yilmaz (2012) spillovers index were used. This approach allows an analysis in both time and frequency. The study results reveal that the integration of African stock exchanges is low at smaller time scales but tends to grow at larger timescales. Despite all the reforms, the transmission of financial information from one market to other remains slow. However, large-scale integration appears to decline in recent years. More effective policies are therefore needed for faster transmission and more efficient integration of African financial markets as well as for promoting exchanges between African stock markets.

JEL Classification
F3: International Finance
C1: Econometric and Statistical Methods and Methodology: General
G1: General Financial Markets
Keywords: African Stock Markets Integration | Wavelet Multiple Correlation | Generalized VAR | Time scales
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