Oil Price Shocks and Equity Return Volatility in Africa

Makgalemele Molepo and Odongo Kodongo ()
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Odongo Kodongo: University of the Witwatersrand

Africagrowth Agenda, 2023, vol. 20, issue 4, 8-12

Abstract: This paper examines the dynamic relationship between oil price shocks and stock markets of several countries in Africa using data covering the period 2007:01–2016:05. We employ two methodologies, namely, ARDL-bounds tests and bivariate BEKK-GARCH-in-mean to test our hypotheses. We document strong evidence of long-run relationships, and moderate short-run relationships, largely running from oil price shocks to stock index returns. We also find strong evidence of volatility transmission largely from oil price shocks to equity returns and volatility persistence in equity returns. The definition of oil price shocks matters in accurately identifying the nature of these relationships.

Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:afj:journ2:v:20:y:2023:i:4:p:8-12

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