Dynamic spillovers between Nigerian, South African and international equity markets

Fowowe, Babajide; Shuaibu, Mohammed

doi:10.1016/j.inteco.2016.06.003

Cited by 22 publications

(15 citation statements)

References 60 publications

(51 reference statements)

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“…Generally, building network connectedness among price returns and volatility is hardly new in conventional assets such as equities (e.g., Fowowe and Shuaibu, 2016;Shahzad et al, 2018) and bonds (Louzis, 2015;Ahmad et al, 2018). Interestingly, it helps in understanding stress periods (i.e.…”

Section: Introductionmentioning

confidence: 99%

“…Investors and risk managers can also benefit from building network of connectedness across asset classes to adjust their investment and hedging decisions. Prior studies have uncovered the network of connectedness among and within different assets/markets that include equities (Fowowe and Shuaibu, 2016;Shahzad et al, 2018;, bonds (Louzis, 2015;Ahmad et al, 2018), currencies (Baruní k, et al, 2017;Singh et al, 2018), commodities (Ji et al, 2018a & b;Zhang and Broadstock, 2018), and interest rates (Louzis, 2015). Generally, empirical evidence suggests that connectedness in both return and volatility is significant, time-varying, and is shaped by crisis periods (Shahzad et al, 2018;Zhang and Broadstock, 2018).…”

Section: Introductionmentioning

confidence: 99%

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Dynamic connectedness and integration in cryptocurrency markets

Bouri

Lau

et al. 2019

International Review of Financial Analysis

445

186

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This study applies a set of measures developed by Diebold and Yilmaz (2012, 2016) to examine connectedness via return and volatility spillovers across six large cryptocurrencies from August 7, 2015 to February 22, 2018. Regardless of the sign of returns, the results show that Litecoin is at the centre of the connected network of returns, followed by the largest cryptocurrency, Bitcoin. This finding implies that return shocks arising from these two cryptocurrencies have the most effect on other cryptocurrencies. Further analysis shows that connectedness via negative returns is largely stronger than via positive ones. Ripple and Ethereum are the top recipients of negative-return shocks, whereas Ethereum and Dash exhibit very weak connectedness via positive returns. Regarding volatility spillovers, Bitcoin is the most influential, followed by Litecoin; Dash exhibits a very weak connectedness, suggesting its utility for hedging and diversification opportunities in the cryptocurrency market. Taken together, results imply that the importance of each cryptocurrency in return and volatility connectedness is not necessarily related to its market size. Further analyses reveal that trading volume and global financial and uncertainty effects as well as the investment-substitution effect are determinants of net directional spillovers. Interestingly, higher gold prices and US uncertainty increase the net directional negative-return spillovers, whereas they do the opposite for net directional positive-return spillovers. Furthermore, gold prices exhibit a negative sign for net directional-volatility spillovers, whereas US uncertainty shows a positive sign. Economic actors interested in the cryptocurrency market can build on our findings when weighing their decisions.

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Section: Introductionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Dynamic connectedness and integration in cryptocurrency markets

Bouri

Lau

et al. 2019

International Review of Financial Analysis

445

186

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“…This study is critical in the sense that investigating volatility spillover among asset prices is an important issue which gained attention in the last few decades. For instance, Fowowe and Shuaibu, 2016 , Zhang et al, 2019 focused on equity markets, Du et al, 2011 , Mensi et al, 2014 investigated spillover effects in commodity markets, Stevenson, 2002 , Hoesli and Reka, 2013 brought real estate market into analysis while Louzis (2015) analyzed the spillover effects in the money market. Moreover, the subject study is crucial because the spillover effects in cryptocurrency markets are underexplored in the literature despite the growing popularity of this market.…”

Section: Introductionmentioning

confidence: 99%

“Small things matter most”: The spillover effects in the cryptocurrency market and gold as a silver bullet

Huynh

Nasir

et al. 2020

The North American Journal of Economics and Finance

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Highlights - Cryptos with small market capitalization are more likely to be sources of shocks than their larger counterparts. - Bitcoins can be considered as a better hedge due to its relative independence. - USDT strong anchoring with US$ makes it very volatile. - The idiosyncrasy of Gold enables it to weather adverse crypto market’s movements. - Having gold in the portfolio with cryptocurrency helps fruitful diversification.

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“…Adjasi and Biekpe (2006); Agyei-Ampomah (2008); Boamah (2013) studied links between African and world stock markets. Using the Diebold and Yilmaz (2012) method, Sugimoto et al (2014); Fowowe and Shuaibu (2016) analyzed the relationship between African stock and global stock markets during the US financial crisis and the European debt crisis. All these works have concluded that African stock markets are weakly integrated with each others and with global stock markets.…”

Section: Introductionmentioning

confidence: 99%

Multiple time-scales analysis of global stock markets spillovers effects in African stock markets

Gourène

Mendy

Ake

2019

International Economics

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This paper examines the spillovers in time and frequency from emerging (Brazil, Russia, India, China), developed (US, UK, France, Germany and Japan) stock markets and oil prices toward seven African stock markets. The spillovers are examined from 2005 to 2016, taking into account the recent financial crises and the recent oil prices fall. We combine the generalized Vector AutoRegressive (VAR) framework and the Maximum Overlap Discrete Wavelet Transform (MODWT) to obtain the spillovers at different time scales. The results show that the relationships between African stock markets, world stock markets and oil prices depend on time scales. African stock markets could be a way of capital diversification for global stock markets at scale 1 (2-4 weeks) and for investors active in the oil market at scale 2 (4-8 weeks).

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Dynamic spillovers between Nigerian, South African and international equity markets

Cited by 22 publications

References 60 publications

Dynamic connectedness and integration in cryptocurrency markets

Dynamic connectedness and integration in cryptocurrency markets

“Small things matter most”: The spillover effects in the cryptocurrency market and gold as a silver bullet

Multiple time-scales analysis of global stock markets spillovers effects in African stock markets

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