Spillover effects of the US monetary policy normalization on African stock markets
Purpose – We study the contemporaneous effects of US monetary policy normalization on African stock market using panel data from six African countries. Design/methodology/approach – Daily data from May 1, 2013 to December 31, 2018 were used in order to accommodate the announcement effects since the...
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| Format: | Article |
| Language: | English |
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Emerald Publishing
2020-04-01
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| Series: | Journal of Economics and Development |
| Subjects: | |
| Online Access: | https://www.emerald.com/insight/content/doi/10.1108/JED-09-2019-0038/full/pdf?title=spillover-effects-of-the-us-monetary-policy-normalization-on-african-stock-markets |
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| author | Ebere Kalu Chinwe Okoyeuzu Angela Ukemenam Augustine Ujunwa |
| author_facet | Ebere Kalu Chinwe Okoyeuzu Angela Ukemenam Augustine Ujunwa |
| author_sort | Ebere Kalu |
| collection | DOAJ |
| description | Purpose – We study the contemporaneous effects of US monetary policy normalization on African stock market using panel data from six African countries. Design/methodology/approach – Daily data from May 1, 2013 to December 31, 2018 were used in order to accommodate the announcement effects since the US monetary policy normalization announcement was made in May 2013, while the rate hike was in December 2015. The study used the FE, RE and PMG models. Findings – The results revealed that US 10-year bond yield and Treasury bill rate shocks negatively affect stock prices in Africa. S$P500 shock positively affects African stock prices.The result revealed that the integration of African financial market to the global financial market is a major source of vulnerability. The finding that US Treasury bill rate is a major depressant of the African stock prices reveals the short-termism of foreign polio inflows into African economies. Originality/value – We provide inexorably insight into the interplay of financial systems globally. It can be useful for the purposes of generalization in developing economies in the shape of African countries. More so, this study could be replicated in another economic bloc or region with the aim of further exposing the far-reaching spillover effects of the US monetary policy normalization. |
| first_indexed | 2024-04-11T09:55:49Z |
| format | Article |
| id | doaj.art-0dd48cfd43354fd1952faf93b8c379c8 |
| institution | Directory Open Access Journal |
| issn | 1859-0020 2632-5330 |
| language | English |
| last_indexed | 2024-04-11T09:55:49Z |
| publishDate | 2020-04-01 |
| publisher | Emerald Publishing |
| record_format | Article |
| series | Journal of Economics and Development |
| spelling | doaj.art-0dd48cfd43354fd1952faf93b8c379c82022-12-22T04:30:34ZengEmerald PublishingJournal of Economics and Development1859-00202632-53302020-04-0122131910.1108/JED-09-2019-0038643325Spillover effects of the US monetary policy normalization on African stock marketsEbere Kalu0Chinwe Okoyeuzu1Angela Ukemenam2Augustine Ujunwa3Department of Banking and Finance, University of Nigeria, Enugu Campus, Nsukka, NigeriaDepartment of Banking and Finance, University of Nigeria, Enugu Campus, Nsukka, NigeriaDepartment of Banking and Finance, University of Nigeria, Enugu Campus, Nsukka, NigeriaDepartment of Monetary Policy, Central Bank of Nigeria, Abuja, NigeriaPurpose – We study the contemporaneous effects of US monetary policy normalization on African stock market using panel data from six African countries. Design/methodology/approach – Daily data from May 1, 2013 to December 31, 2018 were used in order to accommodate the announcement effects since the US monetary policy normalization announcement was made in May 2013, while the rate hike was in December 2015. The study used the FE, RE and PMG models. Findings – The results revealed that US 10-year bond yield and Treasury bill rate shocks negatively affect stock prices in Africa. S$P500 shock positively affects African stock prices.The result revealed that the integration of African financial market to the global financial market is a major source of vulnerability. The finding that US Treasury bill rate is a major depressant of the African stock prices reveals the short-termism of foreign polio inflows into African economies. Originality/value – We provide inexorably insight into the interplay of financial systems globally. It can be useful for the purposes of generalization in developing economies in the shape of African countries. More so, this study could be replicated in another economic bloc or region with the aim of further exposing the far-reaching spillover effects of the US monetary policy normalization.https://www.emerald.com/insight/content/doi/10.1108/JED-09-2019-0038/full/pdf?title=spillover-effects-of-the-us-monetary-policy-normalization-on-african-stock-marketsus monetary policyspillover effectsnormalizationafrica |
| spellingShingle | Ebere Kalu Chinwe Okoyeuzu Angela Ukemenam Augustine Ujunwa Spillover effects of the US monetary policy normalization on African stock markets Journal of Economics and Development us monetary policy spillover effects normalization africa |
| title | Spillover effects of the US monetary policy normalization on African stock markets |
| title_full | Spillover effects of the US monetary policy normalization on African stock markets |
| title_fullStr | Spillover effects of the US monetary policy normalization on African stock markets |
| title_full_unstemmed | Spillover effects of the US monetary policy normalization on African stock markets |
| title_short | Spillover effects of the US monetary policy normalization on African stock markets |
| title_sort | spillover effects of the us monetary policy normalization on african stock markets |
| topic | us monetary policy spillover effects normalization africa |
| url | https://www.emerald.com/insight/content/doi/10.1108/JED-09-2019-0038/full/pdf?title=spillover-effects-of-the-us-monetary-policy-normalization-on-african-stock-markets |
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