COVID-19 Pandemic and Stock Market Linkages in Southern African Customs Union

Kalu O. Emenike

MPRA Paper from University Library of Munich, Germany

Abstract: Stock market linkage broadens the range of investment opportunities available to market participants, strengthens the expansion of the component market, fosters healthy competition in the provision of financial services, and exacerbates vulnerability to volatility contagion. The objective of this study was to evaluate the linkages between stock markets in the Southern African Customs Union (SACU) before and during the COVID-19 pandemic using the bivariate Baba-Engle- Kraft-Kroner (BEKK) GARCH model and correlation analysis. Pre-COVID-19 results show that there is no correlation between the stock markets of Eswatini and any other SACU country; Botswana and Namibia stock markets exhibit a weak relationship, but South Africa and Namibia stock markets have a strong linkage. The COVID-19 results show evidence of a bidirectional volatility spillover between the SACU stock markets, suggesting increased linkage during the COVID-19 pandemic era. The COVID-19 pandemic has had a significant impact on the linkage of stock markets within the SACU region. For effective volatility transmission management, we recommend that policymakers and investors closely monitor and analyse the component markets during the crisis period. More so, the influence of the regional shocks should be considered in the formulation of investment and regulatory policies. This will help to ensure a more resilient and stable financial system in the face of future crises.

Keywords: Stock market linkage; regional integration; COVID-19 pandemic; volatility spillover; South African Customs Union (search for similar items in EconPapers)
JEL-codes: F36 G15 I18 (search for similar items in EconPapers)
Date: 2022-04, Revised 2024-09
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/123476/1/MPRA_paper_123476.pdf original version (application/pdf)

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:pra:mprapa:123476

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().