Dynamic connectedness between global commodity sectors, news sentiment, and sub-Saharan African equities

Samuel Kwaku Agyei, Zaghum Umar, Ahmed Bossman and Tamara Teplova

Emerging Markets Review, 2023, vol. 56, issue C

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.

Keywords: Commodity sectors; Economic news sentiment; sub-Saharan Africa; Equities markets; Emerging markets; Spillover connectedness (search for similar items in EconPapers)
JEL-codes: C22 C32 C58 G01 G11 G12 G15 N27 Q02 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:56:y:2023:i:c:s1566014123000547

DOI: 10.1016/j.ememar.2023.101049

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