Connectedness Across Commodities, Stocks, Exchange Rates And Bonds Markets In Africa: The Covid-19 Pandemic Case

Simple item page
dc.contributor.authorBoakye, R.O.
dc.contributor.authorMensah, L.
dc.contributor.authorOsei, K.
dc.contributor.authoret al.
dc.date.accessioned2024-04-10T12:35:51Z
dc.date.available2024-04-10T12:35:51Z
dc.date.issued2023
dc.descriptionResearch Articleen_US
dc.description.abstractPurpose: The study measures the total systemic risks and connectedness across commodities, stocks, exchange rates and bond markets in Africa during the Covid-19 pandemic. Design, methodology, and approach: The study uses Diebold-Yilmaz spillover and connectedness measures in a generalized VAR framework. The author calculates the net transmitters or receivers of shocks between two assets and visualizes their strength using a network analysis tool. Findings: The study found low systemic risks across all assets and countries. However, we found higher systemic risks in the forex market than in the stock and bond markets, and in South Africa than in other countries. The dynamic analysis found time-varying connectedness return shocks, which increased during the peak periods of the first and second waves of the pandemic. We found both gold and oil as net receivers of shocks. Overall, over half of all assets were net receivers, and others were net transmitters of return shocks. The network's connectedness plot shows high net pairwise connectedness from Morocco to South African stock market. Practical implications: The study has implications for policymakers to develop the capacities of local investors and markets to limit portfolio outflows during a crisis. Originality/value: Previous studies have analyzed spillovers across asset classes in a single country or a single asset across countries. This paper contributes to the literature on network connectedness across assets and countries.en_US
dc.identifier.otherDOI 10.1108/IJOEM-03-2023-0411
dc.identifier.urihttp://ugspace.ug.edu.gh:8080/handle/123456789/41581
dc.language.isoenen_US
dc.publisherInternational Journal of Emerging Marketsen_US
dc.subjectAfricaen_US
dc.subjectCovid-19en_US
dc.subjectCommoditiesen_US
dc.titleConnectedness Across Commodities, Stocks, Exchange Rates And Bonds Markets In Africa: The Covid-19 Pandemic Caseen_US
dc.typeArticleen_US

Files

Original bundle
Now showing 1 - 1 of 1
No Thumbnail Available
Name:
Connectedness Across Commodities, Stocks, Exchange Rates And Bonds Markets In Africa The Covid-19 Pandemic Case.pdf
Size:
2.43 MB
Format:
Adobe Portable Document Format
Description:
Download
License bundle
Now showing 1 - 1 of 1
No Thumbnail Available
Name:
license.txt
Size:
1.71 KB
Format:
Item-specific license agreed upon to submission
Description:
Download

Collections

Department of Banking and Finance