Multiple time-scales analysis of global stock markets spillovers effects in African stock markets

Adams, 2017, BRIC versus OECD foreign direct investment impact on development in Africa, 147 Adjasi, 2006, Co integration and dynamic causal links amongst african stock markets, Invest. Manag. Financ. Innovat., 4, 102 African Securities Exchanges Association, 2012 African Securities Exchanges Association, 2015 Agyei-Ampomah, 2008 Akoum, 2012, Co-movement of oil and stock prices in the GCC region: a wavelet analysis, Q. Rev. Econ. Finance, 52, 385, 10.1016/j.qref.2012.07.005 Aloui, 2014, Co-movements of GCC emerging stock markets: new evidence from wavelet coherence analysis, Econ. Modell., 36, 421, 10.1016/j.econmod.2013.09.043 ARIA, 2008 ARIA, 2012 Boako, 2016, African stock markets convergence: regional and global analysis, Finance Res. Lett., 18, 317, 10.1016/j.frl.2016.05.007 Boako, 2017, Co-movement of Africa's equity markets: regional and global analysis in the frequency-time domains, Phys. A Stat. Mech. Appl., 468, 359, 10.1016/j.physa.2016.10.088 Boako, 2017, Examining evidence of “shift-contagion” in African stock markets: a CoVaR-copula approach, Rev. Develop. Finance, 7, 142, 10.1016/j.rdf.2017.09.001 Boako, 2018, African stock markets in the midst of the global financial crisis: recoupling or decoupling?, Res. Int. Bus. Finance, 46, 166, 10.1016/j.ribaf.2018.02.001 Boamah, 2013 Calderón, 2009, vol. 2009 Candelon, 2005, Measuring common cyclical features during financial turmoil: evidence of interdependence not contagion”, J. Int. Money Finance, 24, 1317, 10.1016/j.jimonfin.2005.08.011 Cejefic-Consulting, 2014 Chakrabarty, 2017 Chinn, 2002 Chinn, 2005 Collins, 2003, Contagion: a fear for African equity markets?, J. Econ. Bus., 55, 285, 10.1016/S0148-6195(03)00020-1 Collins, 2003, Contagion and interdependence in African stock markets, S. Afr. J. Econ., 71, 181, 10.1111/j.1813-6982.2003.tb00077.x de France, 2011 Diebold, 2009, Measuring financial asset return and volatility spillovers, with application to global equity markets, Econ. J., 119, 158, 10.1111/j.1468-0297.2008.02208.x Diebold, 2012, Better to give than to receive: predictive directional measurement of volatility spillovers, Int. J. Forecast., 28, 57, 10.1016/j.ijforecast.2011.02.006 Economic Development in Africa Report, 2014 Engle, 1987, Co-integration and error correction: representation, estimation, and testing, Econometrica: J. Econ. Soc., 251, 10.2307/1913236 Fernández-Macho, 2012, Wavelet multiple correlation and cross-correlation: a multiscale analysis of Eurozone stock markets, Phys. Stat. Mech. Appl., 391, 1097, 10.1016/j.physa.2011.11.002 Fish, 2002, Regional African stock markets indices, S. Afr. J. Bus. Manag., 33, 1 Fowowe, 2016, Dynamic spillovers between Nigerian, South African and international equity markets, Int. Econ., 148, 59, 10.1016/j.inteco.2016.06.003 Gallegati, 2005 Gourène, 2018, Oil prices and african stock markets Co-movement: a time and frequency analysis, J. African Trade, 10.1016/j.joat.2018.03.002 Graham, 2011, Co-movement of the Finnish and international stock markets: a wavelet analysis, Eur. J. Finance, 17, 409, 10.1080/1351847X.2010.543839 Graham, 2012, Integration of 22 emerging stock markets: a three-dimensional analysis, Global Finance J., 23, 34, 10.1016/j.gfj.2012.01.003 Graham, 2013, Global and regional co-movement of the MENA stock markets, J. Econ. Bus., 65, 86, 10.1016/j.jeconbus.2012.09.005 Hamma, 2014, Effect of oil price volatility on Tunisian stock market at sector-level and effectiveness of hedging strategy, Procedia Econ. Finance, 13, 109, 10.1016/S2212-5671(14)00434-1 Hicks, 1969 Hou, 2015 Huang, 1996, Energy shocks and financial markets, J. Futures Market., 16, 1, 10.1002/(SICI)1096-9934(199602)16:1<1::AID-FUT1>3.0.CO;2-Q Irving, 2005 Jammazi, 2012, Crude oil price forecasting: experimental evidence from wavelet decomposition and neural network modeling, Energy Econ., 34, 828, 10.1016/j.eneco.2011.07.018 Kawai, 2009 Kim, 2000, Stock market openings: experience of emerging economies, J. Bus., 73, 25, 10.1086/209631 Klein, 2006 Koop, 1996, Impulse response analysis in nonlinear multivariate models, J. Econom., 74, 119, 10.1016/0304-4076(95)01753-4 Levine, 1997, Financial development and economic growth: views and agenda, J. Econ. Lit., 688 Levine, 1998, Capital control liberalization and stock market development, World Dev., 26, 1169, 10.1016/S0305-750X(98)00046-1 Loh, 2013, Co-movement of Asia-Pacific with European and US stock market returns: a cross-time-frequency analysis, Res. Int. Bus. Finance, 29, 1, 10.1016/j.ribaf.2013.01.001 Lugangwa, 2012 Madaleno, 2012, International stock market indices comovements: a new look, Int. J. Finance Econ., 17, 89, 10.1002/ijfe.448 Mallat, 1999 Mensah, 2017, How are Africa's emerging stock markets related to advanced markets? Evidence from copulas, Econ. Modell., 60, 1, 10.1016/j.econmod.2016.08.022 Mlambo, 2005, Thin trading on African stock markets: implications for market efficiency testing, Invest. Anal. J., 34, 29, 10.1080/10293523.2005.11082466 Ntim, 2011, Testing the weak-form efficiency in African stock markets, Manag. Finance, 37, 195 Percival, 2008, Analysis of geophysical time series using discrete wavelet transforms: an overview, 61 Percival, 2000 Pesaran, 1998, Generalized impulse response analysis in linear multivariate models, Econ. Lett., 58, 17, 10.1016/S0165-1765(97)00214-0 PricewaterhouseCoopers (PwC), 2015 PricewaterhouseCoopers (PwC), 2016 Rambaccussing, 2010, Long memory, return predictability and unconditional risk: evidence from african stock markets, African Rev. Econ. Finance, 1, 72 Rua, 2009, International comovement of stock market returns: a wavelet analysis, J. Empir. Finance, 16, 632, 10.1016/j.jempfin.2009.02.002 Schumpeter, 1912 Shik Lee, 2004, International transmission of stock market movements: a wavelet analysis, Appl. Econ. Lett., 11, 197, 10.1080/1350485042000203850 Stracca, 2013 Sugimoto, 2014, The global financial crisis: an analysis of the spillover effects on African stock markets, Emerg. Market. Rev., 21, 201, 10.1016/j.ememar.2014.09.004 Tiwari, 2013, Stock market integration in Asian countries: evidence from wavelet multiple correlations, J. Econ. Integrat., 28, 441, 10.11130/jei.2013.28.3.441 United Nations. Department of Economic, 2011, vol. 334 Wang, 2003, Financial crisis and African stock market integration, Appl. Econ. Lett., 10, 527, 10.1080/1350485032000100198 Zheng, 2016, Chinas aid and investment in Africa: A viable solution to international development