 Stock market connectedness during an energy crisis: Evidence from South AfricaBabatunde Lawrence, Adefemi A. Obalade, Anthanasius F. Tita and Joseph French Emerging Markets Review, 2024, vol. 63, issue C Abstract: This study examines the within-industry and global volatility connectivity of the South African equity market during a major domestic energy crisis (load-shedding) and the COVID-19 pandemic. Using a time-varying parameter vector autoregressive model, we identify distinct patterns in volatility spillovers across periods of global and domestic crises. The onset of the COVID-19 pandemic increased interconnectedness between South Africa and global equity markets. In contrast, during domestic load-shedding, the Johannesburg Stock Exchange (JSE) became detached from international markets, highlighting the localized impact of this crisis. We find that the financial and energy industries are consistently net receivers and transmitters of shocks during both crises which demonstrate their systemic importance to South Africa. Our findings provide insights into the dynamic nature of volatility connectedness, with implications for risk management and policy formulation in Africa. Keywords: Load-shedding; Connectedness; Africa equity markets; Spillovers (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:63:y:2024:i:c:s156601412400089x DOI: 10.1016/j.ememar.2024.101194 Access Statistics for this article Emerging Markets Review is currently edited by Jonathan A. Batten More articles in Emerging Markets Review from Elsevier |
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