Inflation and west African sectoral stock price indices: An asymmetric kernel method analysis |
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| Affiliation: | 1. LASTIC, École Supérieure Africaine des Technologies de l''Information et de la Communication, Abidjan, Côte D''Ivoire;2. LaST, Université Thomas SANKARA, Ouagadougou, Burkina Faso;3. LANIBIO, Université Joseph KI-ZERBO, Ouagadougou, Burkina Faso;4. EMS, Université Paris 1 Panthéon-Sorbonne, Paris, France;1. Academy of Mathematics and Systems Science, Chinese Academy of Science, China;2. School of Business, University of Wollongong, Australia;3. School of Sociology and Political Science, Shanghai University, China;4. School of Public Economics and Administration, Shanghai University of Finance and Economics, China |
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| Abstract: | Our work puts into perspective the relationship between inflation and West African sectoral indices between November 2001 and January 2020 using the asymmetric kernel method. The sectoral indices considered for the analysis include retail, finance, industry, utilities, agriculture, transportation, and other sectors. Our work reveals that while all sectors are sensitive to inflation, the utilities and agriculture sectors are more sensitive to changes in inflation. Moreover, we discover that the relationship between inflation and sectoral stock market indices is rather non-linear to support the hypothesis that the relationship between inflation and stock market indices varies across different inflationary economies. These results imply that investors modify the structure of their investment portfolio according to the variation in the levels of inflation to the extent that this variation ultimately affects future dividends. |
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