How are Africa's emerging stock markets related to advanced markets? Evidence from copulas

Mensah, Jones Odei; Alagidede, Paul

doi:10.1016/j.econmod.2016.08.022

Cited by 52 publications

(20 citation statements)

References 32 publications

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“…Therefore, dependence between assets is important to determine how strongly the assets are interlinked and can influence each other. These consequences are important for risk management (Mensah and Alagidede, 2017), and given to diversification principles, investing in low correlated assets may reduce the probability of losses on investment.…”

Section: Introductionmentioning

confidence: 99%

Dependence of stock markets with gold and bonds under bullish and bearish market states

et al. 2017

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This paper examines the dependence of gold and benchmark bonds with ten stock markets including five larger developed markets (e.g. USA, UK, Japan, Canada and Germany) and five Eurozone peripheral GIPSI countries (Greece, Ireland, Portuguese, Spain and Ireland) stock markets. We use a novel quantile-on-quantile (QQ) approach to construct the dependence estimates of the quantiles of gold and bond with the quantiles of stock markets. The QQ approach, recently developed by Sim and Zhou (2015), captures the dependence between the entire distributions of financial assets and uncovers some nuance features of the relationship. The empirical findings primarily show that gold is strong hedge and diversifier for the stock portfolio except when both the markets are under stress. Further, the flight to safety phenomenon is shortlived because national benchmark bonds exhibit a positive dependence with their respective countries stock indices at various quantiles. Unlike the existing literature, the QQ approach suggest that bonds act as safe havens for the stock portfolio but gold does not. Our findings also suggest that dependence between stock-gold and stock-bond pairs is not uniform and this relationship is market state (e.g. bearish, mild bearish, optimistic or bullish) and country specific.

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Section: Introductionmentioning

confidence: 99%

Dependence of stock markets with gold and bonds under bullish and bearish market states

et al. 2017

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“…Forbes and Rigobon () similarly could not find evidence of shock propagation from the 1997 Asian flu to South Africa. Also, Mensah and Alagidede () conclude that African markets, with the exception of South Africa, are immune to risk spillovers from the more advanced markets and the tendency to boom or crash together is minimal. The lack of spillover effects for the full sample data may be due to the fact that in the full sample, the peculiarity of the data can be masked, since it reflects an aggregation of periodic characteristics of the entire sample.…”

Section: Empirical Results and Discussionmentioning

confidence: 99%

“…The dearth of related studies on Africa is very harrowing. The pioneering paper by Mensah and Alagidede () and the recent one by Boako and Alagidede () on Africa are however notable. By examining how Africa's stock markets are related to advanced markets using CoVaR‐copulas, Mensah and Alagidede () suggest that, but for South Africa, African equity markets are immune to risk spillover from their advanced counterparts.…”

Section: Introductionmentioning

confidence: 97%

“…The pioneering paper by Mensah and Alagidede () and the recent one by Boako and Alagidede () on Africa are however notable. By examining how Africa's stock markets are related to advanced markets using CoVaR‐copulas, Mensah and Alagidede () suggest that, but for South Africa, African equity markets are immune to risk spillover from their advanced counterparts. With a disaggregation of their study sample into tranquil (pre‐ and post‐) and turbulent (turmoil and acute) phases of the 2007–2009 global financial crisis (GFC), Boako and Alagidede () find some evidences of systemic risk spillovers from developed markets to African equity markets mainly during the acute phase of the GFC.…”

Section: Introductionmentioning

confidence: 97%

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Systemic Risks Spillovers and Interdependence among Stock Markets: International Evidence with Covar‐Copulas

Boako

Alagidede

2017

South African J Economics

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Empirical studies have provided ample evidence on the potential benefits of international diversification with portfolios that consist of both domestic and foreign assets. This coupled with sudden and periodic crashes in global and developed equity markets have stimulated the interest of investors to diversify across markets that have the potential to provide decorrelation with global markets during turbulent periods. At the same time, international diversification may intensify cross-border listing of stocks with its antecedent implication of shocks transmission. The above have engendered renewed interest among researchers to explore the dependence levels and spillover effects of shocks among emerging and developed equity markets. This paper examines tail dependence structure and (extreme) systemic risks spillover effects among international equity markets using advanced econometric techniques that underpin the modelling of asset returns. We find evidence of low positive significant dependencies between all African markets and their developed counterparts, except for Egypt. Although no evidence of spillover effects to the markets in Africa was found, both unidirectional and bi-directional causality between some African and developed equity markets is found, albeit with differences. We are unable to ascribe the dynamics in the causality structure to level of market integration. It is inferred that the degree of individual local markets interdependence with developed counterparts may reflect the relative size, liquidity and degree of foreign investors' participation. JEL Classification: C2, F35, G10, G15

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“…The choice of selecting these countries for our study is clear. First, they are identified as emerging economies of Africa due to the improvement in their stock markets spurred by energy use (Mensah & Alagidede, 2017). Second, they are among the 15 highest consumers of energy, but are not in the first 10 (except South Africa) highest emitters of CO 2 .…”

Section: Introductionmentioning

confidence: 99%

Energy Consumption, Carbon Emission, and Well-Being in Africa

Olubiyi

2020

The Review of Black Political Economy

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The link among energy use, human welfare, and carbon emission has been a topical issue in the literature. In Africa, energy consumption has been on the increase owing to the production and consumption of sophisticated consumer goods and home appliances. Increased energy use triggers carbon emission that is detrimental to human welfare. This study investigates this puzzle in emerging African countries by utilizing panel vector autoregressive and system generalized method of moments (SYS-GMM) in the context of a mix of theories. The results indicate a unidirectional causality running from FUEL, COAL to per capita income (PCI). A unidirectional causality running from mortality rate (MOR) to COAL and CO2 was observed. There is a bidirectional relationship between MOR and energy use. The SYS-GMM results show that the effects of energy consumption on well-being are diverse. Increase in coal consumption reduces unemployment rate while electricity consumption reduces infant mortality rate. Fuel consumption aggravates incidence of mortality rate. CO2 reduces unemployment but worsens infant mortality rate. Electricity consumption reduces infant mortality rate. Hence, for the purpose of policy harmonization tailored toward improving well-being in the emerging economies of Africa, it is recommended that more of coal consumption and efficient use of electricity must be encouraged.

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How are Africa's emerging stock markets related to advanced markets? Evidence from copulas

Cited by 52 publications

References 32 publications

Dependence of stock markets with gold and bonds under bullish and bearish market states

Dependence of stock markets with gold and bonds under bullish and bearish market states

Systemic Risks Spillovers and Interdependence among Stock Markets: International Evidence with Covar‐Copulas

Energy Consumption, Carbon Emission, and Well-Being in Africa

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