ABSTRACT
This article examines the correlation of Africa’s emerging markets regionally and globally using the Continuous Morlet Wavelet (CMW) transform. The superiority of this technique is that it is able to estimate correlation in a time-varying manner and derive all information about structural changes in the data through a phase difference technique. We find that Africa’s emerging equity markets are partially segmented regionally and globally. Although correlations may have increased over time, we suggest that emerging markets in Africa should still be considered as a separate asset class.
Disclosure statement
No potential conflict of interest was reported by the authors.
Notes
1 Grinsted, Moore, and Jevrejeva (Citation2004).
2 MSCI-COM is a free float-adjusted market capitalization index designed to reflect the performance of the entire three underlying commodity markets: energy, metals and agricultural products.