Blackouts and stock markets: Evidence from load-shedding in South Africa

Adefemi A. Obalade, Anthanasius F. Tita and Joseph French

Finance Research Letters, 2024, vol. 67, issue PA

Abstract: This study examines the impact of an energy crisis (load shedding) on South African sector equity returns and volatilities utilizing daily data and GARCH models. Our findings reveal heterogeneous responses across industries. Basic materials, consumer discretionary, industrial, and telecommunications sectors show resilience, with no significant impact on returns from higher load shedding stages. Consumer staples, financial, technology, and energy sectors exhibit negative relationships between returns and load shedding intensity. Notably, the health sector demonstrates a positive response to elevated load shedding levels. Counter-intuitively we find insignificant or negative impacts on industry volatilities to increased levels of load shedding. Our study contributes to understanding market behaviour under persistent economic stress and has implications for investors and policymakers in emerging markets.

Keywords: Load-shedding; Energy crisis; Calendar anomalies; Africa (search for similar items in EconPapers)
JEL-codes: C5 E44 G1 G4 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:67:y:2024:i:pa:s1544612324007591

DOI: 10.1016/j.frl.2024.105729

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