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Dynamic connectedness between global commodity sectors, news sentiment, and sub-Saharan African equities

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  • Agyei, Samuel Kwaku
  • Umar, Zaghum
  • Bossman, Ahmed
  • Teplova, Tamara

Abstract

We examine the static and time-varying spillovers between global commodity sectors, economic news sentiment, and sub-Saharan African (SSA) equities. In a time-varying parameter vector autoregressions spillover connectedness approach, we find that: (i) there are significant spillovers between SSA equities, economic news sentiment, and global commodity sectors; (ii) the connectedness evolves across different times and is amplified by market crises; (iii) there are suitable market-specific SSA equities that bear safe-haven and hedge attributes for global commodity investors; (iv) agriculture is the main source of return and volatility spillovers; and (v) economic news sentiment index is a net transmitter of spillover during systemic crisis periods such as GFC and the COVID-19 pandemic. Our findings have notable implications for international investors, regulators, and practitioners.

Suggested Citation

  • Agyei, Samuel Kwaku & Umar, Zaghum & Bossman, Ahmed & Teplova, Tamara, 2023. "Dynamic connectedness between global commodity sectors, news sentiment, and sub-Saharan African equities," Emerging Markets Review, Elsevier, vol. 56(C).
    • Handle: RePEc:eee:ememar:v:56:y:2023:i:c:s1566014123000547
    DOI: 10.1016/j.ememar.2023.101049
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    More about this item

    Keywords

    Commodity sectors; Economic news sentiment; sub-Saharan Africa; Equities markets; Emerging markets; Spillover connectedness;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G01 - Financial Economics - - General - - - Financial Crises
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • N27 - Economic History - - Financial Markets and Institutions - - - Africa; Oceania
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market

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