Dynamic connectedness between global commodity sectors, news sentiment, and sub-Saharan African equities
Source of Publication
Emerging Markets Review
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.
Commodity sectors, Economic news sentiment, Emerging markets, Equities markets, Spillover connectedness, sub-Saharan Africa
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.
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