Volatility spillovers and time-frequency correlations between Chinese and African stock markets
Volatility spillovers and time-frequency correlations between Chinese and African stock markets

Summary/Abstract: This study examines the volatility spillovers in time and frequency from China to five frontier stock markets in Africa (Kenya, Mauritius, Tunisia, Morocco and Nigeria). The authors consider the volatility spillover after the global financial crisis. A bivariate Generalized Autoregression Conditional Heteroscedasticity-Baba, Engle, Kraft and Kroner (GARCHBEKK) model and wavelet coherence analysis are combined to obtain volatility spillover effects and time-frequency correlations. Empirical results reveal evidence of significant volatility spillovers between China and the five African stock markets, as well as timefrequency correlations for different market pairs. In general, wavelet coherence findings suggest that in most pairs, the China market was leading. Therefore, these results are positive signs for foreign investors to diversify their portfolio among China’s and its trading partners’ stock markets.

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