Abstract

The objective of this paper is to analyze the effects of contagion, interdependence, and changes in the correlation structure, after the COVID-19 crisis, on the financial markets of the ECOWAS oil importing and exporting area and the price of BRENT. To do this, two wavelet approaches in a time-frequency domain (the local correlation wavelet (WLC) and the correlation wavelet (WC)), on daily data from January 04, 2005, to January 06, 2022, of the composite indices of the NSE, the BRVM, the GSE and the price of BRENT, are mobilized. The results mainly reveal the existence of contagion and co-movement on the one hand, and variation in the correlation structure in the post-COVID-19 era on the other. The study thus exhibits evidence of the coexistence of contagion, co-movement, and permanent change in the correlation structure between the ECOWAS financial markets and the price of BRENT before and after the COVID-19 crisis.

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