Shock and Volatility Transmissions Across Global Commodity and Stock Markets Spillovers: Empirical Evidence from Africa

Ichraf Ben Flah, Kaies Samet, Anis El Ammari () and Chokri Terzi
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Ichraf Ben Flah: Accounting Department, College of Business, Imam Mohammad Ibn Saud Islamic University (IMSIU), Riyad 11432, Saudi Arabia
Kaies Samet: Laboratory of Economics and Development, Faculty of Economic Sciences and Management of Sfax, University of Sfax, LR18ES26, Sfax 3018, Tunisia
Anis El Ammari: Faculty of Economics Sciences and Management of Mahdia, University of Monastir, Mahdia 5111, Tunisia
Chokri Terzi: Laboratory of Economics and Industrial Management, Polytechnic School of Tunisia, University of Carthage, LR99ES22, Tunis 2078, Tunisia

JRFM, 2025, vol. 18, issue 6, 1-17

Abstract: This paper investigates the link between commodity price volatility and stock market indices in Nigeria, Ghana, and Côte d’Ivoire, focusing on commodities such as oil, cocoa, and gold over a daily period from 2 January 2020 to 31 December 2021. In order to conduct this study, the BEKK-GARCH process is applied to test the volatility transmission across commodity and stock markets, while focusing on the asymmetry in the conditional variances of these markets. The analysis reveals a 30% increase in volatility spillovers during the COVID-19 period, highlighting significant asymmetry in conditional variances between African stock markets and global commodity markets. Furthermore, the findings demonstrate that conditional variances in stock and commodity markets are asymmetrical. This study advances the literature on volatility transmission by providing novel evidence on asymmetric spillovers between African stock markets and global commodity prices, particularly during COVID-19. It offers insights into the unique role of emerging African markets in global financial interconnectedness.

Keywords: stock market; commodity market; BEKK GARCH process; asymmetry; COVID-19 (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2025
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