Dynamic connectedness between global commodity sectors, news sentiment, and sub-Saharan African equities
Document Type
Article
Source of Publication
Emerging Markets Review
Publication Date
9-1-2023
Abstract
We examine the static and time-varying spillovers between global commodity sectors, economic news sentiment, and sub-Saharan African (SSA) equities. In a time-varying parameter vector autoregressions spillover connectedness approach, we find that: (i) there are significant spillovers between SSA equities, economic news sentiment, and global commodity sectors; (ii) the connectedness evolves across different times and is amplified by market crises; (iii) there are suitable market-specific SSA equities that bear safe-haven and hedge attributes for global commodity investors; (iv) agriculture is the main source of return and volatility spillovers; and (v) economic news sentiment index is a net transmitter of spillover during systemic crisis periods such as GFC and the COVID-19 pandemic. Our findings have notable implications for international investors, regulators, and practitioners.
DOI Link
ISSN
Publisher
Elsevier BV
Volume
56
Disciplines
Business
Keywords
Commodity sectors, Economic news sentiment, Emerging markets, Equities markets, Spillover connectedness, sub-Saharan Africa
Scopus ID
Recommended Citation
Agyei, Samuel Kwaku; Umar, Zaghum; Bossman, Ahmed; and Teplova, Tamara, "Dynamic connectedness between global commodity sectors, news sentiment, and sub-Saharan African equities" (2023). All Works. 5931.
https://zuscholars.zu.ac.ae/works/5931
Indexed in Scopus
yes
Open Access
no