This study examines time-scale connectedness between returns on African stock markets and commodities across the energy, agriculture, metals, and beverage markets with wavelet-based coherency, wavelet multiple cross-correlation, and wavelet-based Sharpe ratio and generalized Sharpe ratio diversification analysis. We find evidence of increased performance of risk-minimizing portfolios during crisis that are broadly narrowed to long-run fluctuations (shorter scales). Such higher performances at shorter scales suggest that, during crises, investors show some levels of risk-aversion towards African equity investments over long term horizons. This explains why some African markets experienced first-round effect of the global financial crisis despite the theoretical view that African economies could potentially be decoupled from global economic shocks during crisis. Thus, although the decoupling phenomenon may hold for African markets during global financial crisis, if investors decide to balance their portfolios only for the short term, the portfolio reversals may cause serious effects to the continent. Further, of all the nine stock markets, it is only the Ivory Coast regional bourse that maximizes the multiple correlations against the linear combinations of the aggregate commodity indices. Lastly, the results confirm that having a combined portfolio of commodities and equities improves performance for different investment horizons.
