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

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Listed:
  • Urom, Christian
  • Ndubuisi, Gideon
  • Del Lo, Gaye
  • Yuni, Denis

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.

Suggested Citation

  • Urom, Christian & Ndubuisi, Gideon & Del Lo, Gaye & Yuni, Denis, 2023. "Global commodity and equity markets spillovers to Africa during the COVID-19 pandemic," Emerging Markets Review, Elsevier, vol. 55(C).
    • Handle: RePEc:eee:ememar:v:55:y:2023:i:c:s1566014122000656
    DOI: 10.1016/j.ememar.2022.100948
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    More about this item

    Keywords

    COVID-19 pandemic; Equity markets; Commodity markets; Markets' connectedness;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General
    • Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices

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