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This paper studies the integration of the most six largest African stock markets in term of capital using theWavelet Multiple Correlation (WMC) and theWavelet Multiple Cross-Correlation (WMCC) proposed by Fernandez-Macho… Click to show full abstract
This paper studies the integration of the most six largest African stock markets in term of capital using theWavelet Multiple Correlation (WMC) and theWavelet Multiple Cross-Correlation (WMCC) proposed by Fernandez-Macho (2012). These methods are used to study simultaneously the correlation between several variables at different time scales. They have some advantages over previous models. Results show that the integration between the six stock markets returns remains low but tends to increase gradually in time and is greater in the long run. A diversified investment opportunity is possible in these stock markets at all scales
Journal Title: Journal of Economic Integration
Year Published: 2019
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