Global commodity and equity markets spillovers to Africa during the COVID-19 pandemic

Christian Urom; Gideon Ndubuisi; Gaye Del Lo; Denis Yuni

doi:10.1016/j.ememar.2022.100948

Global commodity and equity markets spillovers to Africa during the COVID-19 pandemic

Christian Urom, Gideon Ndubuisi^*, Gaye Del Lo, Denis Yuni

^*Corresponding author for this work

Research output: Contribution to journal › Article › Academic › peer-review

Abstract

This paper examines the connectedness among 12 African equity markets and the global commodity, developed equity markets, paying particular attention to their evolution during the COVID-19 pandemic's peak period. We find that whilst African equity markets connect weakly to these markets, the levels of connectedness among these markets improved significantly during the pandemic. In addition, the energy market dominates the transmission of shocks in the system with commodity markets. Regarding the system with equity markets, the French and South African equity markets transmit the highest spillover in the full sample and during the pandemic's peak period, respectively.

Original language	English
Article number	100948
Number of pages	21
Journal	Emerging Markets Review
Volume	55
Early online date	1 May 2023
DOIs	https://doi.org/10.1016/j.ememar.2022.100948
Publication status	Published - 1 Jun 2023

JEL classifications

c14 - Semiparametric and Nonparametric Methods: General
f31 - Foreign Exchange
f42 - International Policy Coordination and Transmission
g14 - "Information and Market Efficiency; Event Studies"
q40 - Energy: General
q41 - Energy: Demand and Supply

Keywords

COVID-19 pandemic
Equity markets
Commodity markets
Markets' connectedness
VOLATILITY SPILLOVERS
PORTFOLIO MANAGEMENT
FINANCIAL CRISIS
STOCK-MARKET
CO-MOVEMENT
RETURN
CONTAGION
OIL
LINKAGES
CHINA

Access to Document

10.1016/j.ememar.2022.100948Licence: CC BY

Cite this

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title = "Global commodity and equity markets spillovers to Africa during the COVID-19 pandemic",

abstract = "This paper examines the connectedness among 12 African equity markets and the global commodity, developed equity markets, paying particular attention to their evolution during the COVID-19 pandemic's peak period. We find that whilst African equity markets connect weakly to these markets, the levels of connectedness among these markets improved significantly during the pandemic. In addition, the energy market dominates the transmission of shocks in the system with commodity markets. Regarding the system with equity markets, the French and South African equity markets transmit the highest spillover in the full sample and during the pandemic's peak period, respectively.",

keywords = "COVID-19 pandemic, Equity markets, Commodity markets, Markets' connectedness, VOLATILITY SPILLOVERS, PORTFOLIO MANAGEMENT, FINANCIAL CRISIS, STOCK-MARKET, CO-MOVEMENT, RETURN, CONTAGION, OIL, LINKAGES, CHINA",

author = "Christian Urom and Gideon Ndubuisi and {Del Lo}, Gaye and Denis Yuni",

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doi = "10.1016/j.ememar.2022.100948",

language = "English",

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AU - Ndubuisi, Gideon

AU - Del Lo, Gaye

AU - Yuni, Denis

PY - 2023/6/1

Y1 - 2023/6/1

N2 - This paper examines the connectedness among 12 African equity markets and the global commodity, developed equity markets, paying particular attention to their evolution during the COVID-19 pandemic's peak period. We find that whilst African equity markets connect weakly to these markets, the levels of connectedness among these markets improved significantly during the pandemic. In addition, the energy market dominates the transmission of shocks in the system with commodity markets. Regarding the system with equity markets, the French and South African equity markets transmit the highest spillover in the full sample and during the pandemic's peak period, respectively.

AB - This paper examines the connectedness among 12 African equity markets and the global commodity, developed equity markets, paying particular attention to their evolution during the COVID-19 pandemic's peak period. We find that whilst African equity markets connect weakly to these markets, the levels of connectedness among these markets improved significantly during the pandemic. In addition, the energy market dominates the transmission of shocks in the system with commodity markets. Regarding the system with equity markets, the French and South African equity markets transmit the highest spillover in the full sample and during the pandemic's peak period, respectively.

KW - COVID-19 pandemic

KW - Equity markets

KW - Commodity markets

KW - Markets' connectedness

KW - VOLATILITY SPILLOVERS

KW - PORTFOLIO MANAGEMENT

KW - FINANCIAL CRISIS

KW - STOCK-MARKET

KW - CO-MOVEMENT

KW - RETURN

KW - CONTAGION

KW - OIL

KW - LINKAGES

KW - CHINA

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DO - 10.1016/j.ememar.2022.100948

M3 - Article

SN - 1566-0141

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JO - Emerging Markets Review

JF - Emerging Markets Review

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