Multi-scale Features of Interdependence Between Oil Prices and Stock Prices

Ngo Thai Hung () and Xuan Vinh Vo ()
Additional contact information
Ngo Thai Hung: University of Finance-Marketing
Xuan Vinh Vo: University of Economics

Asia-Pacific Financial Markets, 2023, vol. 30, issue 3, No 3, 475-504

Abstract: Abstract This paper investigates the time-varying connectedness between oil prices and the stock prices in African markets. We employ a wavelet-based dynamic conditional correlation framework, which allows us to look into the time-varying correlation between oil and African stock markets in time and frequency domains. Empirical results show the interdependence between oil prices and African stock market prices are time-varying and spread across various wavelet scales. More importantly, the dynamic relationship between oil prices and stock returns in these countries varies more frequently and at a lower level in the short run. However, we find the long and medium-range co-movements between them except during the Covid-19 period when short-term integration increased considerably, which might help portfolio managers and investors mitigate risk. We identify the hedge ratios and optimal portfolio weights for practical implications based on the said assets' dynamic conditional correlation.

Keywords: Africa stock markets; Oil prices; Wavelet; DCC-GARCH; Hedge ratio (search for similar items in EconPapers)
JEL-codes: C1 C5 G1 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://link.springer.com/10.1007/s10690-022-09385-5 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:kap:apfinm:v:30:y:2023:i:3:d:10.1007_s10690-022-09385-5

Ordering information: This journal article can be ordered from
http://www.springer.com/finance/journal/10690/PS2

DOI: 10.1007/s10690-022-09385-5

Access Statistics for this article

Asia-Pacific Financial Markets is currently edited by Jiro Akahori

More articles in Asia-Pacific Financial Markets from Springer, Japanese Association of Financial Economics and Engineering
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().