Dynamic interdependence structure of industrial metals and the African stock market

John Woode, Peterson Owusu Junior and Anokye M. Adam

Resources Policy, 2024, vol. 88, issue C

Abstract: The study assesses the interdependence structure between industrial metals (aluminium, copper, nickel, tin, and zinc) and African stocks (Botswana, Namibia, South Africa, Tanzania, and Zambia). This paper employed a sample of 2700 daily observations on each asset class for the period ranging from January 1, 2012, to November 30, 2022. The bivariate analysis revealed a heterogeneous interdependence structure between industrial metals and African equities through a moderate comovement among the sample assets over the medium to long term. It also noted the hedge and haven prospects of base metals and select African stocks in both a normal (2012–2018) and turbulent (2019–2022) period. In contrast, the wavelet multiple correlations showed a higher degree of integration, with the fortnightly scale recording a near-perfect correlation. The wavelet cross-correlation results also showed that only copper was able to respond to shocks on monthly and quarterly scales, while the remaining scales had no immediate lag. By examining the structure of interdependence between base metals and the African stock market, we uncovered discoveries that have a profound policy, diversification, and risk allocation ramifications.

Keywords: Industrial metals; Interdependence; Industrial metal market crash; Portfolio diversification; Stock markets; Time-frequency domain; Wavelet multiple correlations; Heterogeneous market hypothesis (search for similar items in EconPapers)
Date: 2024
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:88:y:2024:i:c:s0301420723011662

DOI: 10.1016/j.resourpol.2023.104455

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