The bank's analysis found that Mauritians had the continent's highest wealth per capita in 2016 at $25,700, more than double that of second-placed South Africa on $11,300. They also enjoyed the highest growth rate in wealth per capita last year of over 20%.
In addition, Mauritius has the fastest growing population of millionaires, which increased by 20% in 2016. Over a ten-year period between 2006-2016 the island saw a continent-leading 230% growth of millionaires.
South Africa retained its lead for the highest total number of millionaires in 2016 with 40,400, a long way clear of Egypt on 18,100. Africa's southernmost state also dominated the city charts, with Johannesburg, Cape Town, Pretoria and Durban all among the top 10 for resident millionaires.
AfrAsia analysts identify Mauritius' favorable business environment as key to its rising wealth.
"Secure ownership rights ... are the most critical component of successful wealth creation globally," the report notes. "Ownership rights are very strong in Mauritius, which encourages locals and foreigners to invest in property and businesses in the country."
The island has seen an influx of millionaires from France and South Africa, according to the report, which has fuelled the development of a "thriving and growing financial services sector, particularly in offshore banking, fund management and private banking."
The bank's analysts believe that Mauritius' low taxes and relaxed government regulations are extremely attractive to wealthy businesspeople.
The country also offers a luxury lifestyle of "beaches, weather, golf courses and scenery."
The report also highlights downturns elsewhere in Africa, notably Zimbabwe.
Wealth per capita has declined to $200 per capita under President Robert Mugabe, AfrAsia found, having plummeted since 2000.
Analysts attribute the drop to a decline in ownership rights, leading to capital flight from the country.
Some of the continent's largest economies have also suffered. Nigeria's wealth per capita dropped from $2,000 to $1,600 in 2016, and the West African state also saw a 20% drop in millionaires.
The report found a mixed picture on the continental scale. There are 145,000 millionaires living in Africa today, with combined wealth of around $800 billion.
The number of millionaires has grown by 19% since 2006, but fell by 2% in 2016. However, the report projects that there will be 36% more millionaires in Africa by 2026.