Can crude oil price returns drive stock returns of oil producing countries in Africa? Evidence from bivariate and multiple wavelet

We examine the time-frequency lead-lag relationships and degree of integration between crude oil price returns and stock returns of six oil-producing countries in Africa–Nigeria, Egypt, Ghana, Tunisia, South Africa and Morocco. The study employs daily data from January 2011 to October 2020, inclusive of the COVID-19 pandemic period, using bivariate and multiple wavelet. Generally, there is low interdependence between crude oil price returns and stock returns. We advocate that in periods of crude oil price shocks on other stock markets, African stocks provide diversification opportunities. Thus, a portfolio with African stocks offers immunity to global oil price shocks.