Oil Prices and African Stock Markets Co-movement: A Time and Frequency Analysis

This paper explores the co-movement between OPEC (Organization of the Petroleum Exporting Countries) oil prices and six largest African stock markets in term of capital. The Wavelet Coherence method is used to analyze the evolution of this relationship in both time and frequency. Our results show that the co-movement between the African financial markets and oil prices is relatively low except for the emerging stock markets such as South Africa and Egypt and is related for the majority of stock markets in large time scales during the period of the 2007 financial crisis and after. At small time scales, African stock markets could be a way of diversification benefits for oil market active investors