Beginning an African Stock Markets Integration? A Wavelet Analysis

This paper examines the integration of the six largest African stock markets at different timescales. We want to see whether the numerous measures and reforms put in place to integrate the African stock markets are efficient. First, we used the Wavelet Multiple Correlation and the Wavelet Multiple Cross-Correlation proposed by Fernandez-Macho (2012). Then, we combine the spillovers index based on generalized vector autoregressive proposed by Diebold and Yilmaz (2012) with the Maximal Overlap Discrete Wavelet Transform. We find that after all the reforms, African stock markets integration remains weak and tends to decline despite some small progress in the flow of financial information. We also find that the integration of African stock exchanges varies according to timescales. More efficient measures are therefore needed for the effective integration of African financial markets, but also for policies that better promote exchanges between these stock markets.