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On the dynamic effects of global commodities on stock market blocks in Africa

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  • Maurice Omane-Adjepong
  • John Bosco Dramani

Abstract

This article explores the commodity–equity links in the Africa markets by distinguishing between short- to long-run co-movements driven by market shocks. Using the value-weighted average method, available Africa’s stock markets are aggregated into four market blocks. Global oil and gold returns are used as proxies for commodities. Coherency between pairs of markets is examined with the use of continuous Morlet wavelet transform. Results reveal abstemiously high degree of co-movements between the commodity–equity markets in the short- to medium-term frequencies with nonhomogenous lead–lag nexuses, signifying greater benefits of diversification in the long-term. These findings provide investors with relevant strategies for hedging.

Suggested Citation

  • Maurice Omane-Adjepong & John Bosco Dramani, 2018. "On the dynamic effects of global commodities on stock market blocks in Africa," Applied Economics Letters, Taylor & Francis Journals, vol. 25(11), pages 800-805, June.
  • Handle: RePEc:taf:apeclt:v:25:y:2018:i:11:p:800-805
    DOI: 10.1080/13504851.2017.1368978
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