Co-Movement of Africa’s Emerging Stock Markets: A New Look under the COVID-19 Crisis

We investigate the behaviour of the largest Africa’s stock markets and their relatedness with international assets amid the ongoing COVID-19 crisis using the rolling window wavelet correlation measure. Our results suggest that the crisis has had negligible influence on the pairwise correlations of emerging equity markets in Africa, and for that matter, they can still be largely considered as separate assets. Further results, generally, indicate weak positive connectedness and inverse relationship between Africa’s emerging equities and the international markets, signalling hedging potential of the former. The findings presage some crucial implications for investors regarding short-run portfolio diversification and risk management.