On the dynamic effects of global commodities on stock market blocks in Africa |
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Authors: | Maurice Omane-Adjepong John Bosco Dramani |
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Affiliation: | 1. Doctoral Research Candidate, Wits Business School, University of The Witwatersrand, Johannesburg, South Africa;2. Economics and Statistics Department, Garden City University College, Kumasi, Ghana;3. Department of Economics, Kwame Nkrumah University of Science and Technology, Kumasi, Ghana |
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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. |
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Keywords: | Global commodity wavelet analysis coherence stock market blocks |
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