Connectedness and spillover between African equity, commodity, foreign exchange and cryptocurrency markets during the COVID-19 and Russia-Ukraine conflict

Connectedness and spillover between African equity, commodity, foreign exchange and cryptocurrency markets during the COVID-19 and Russia-Ukraine conflict

Abstract Since the onset of the COVID-19 pandemic, financial and commodity markets have exhibited significant volatility and displayed fat tail properties, deviating from the normal probability curve. The recent Russia-Ukraine war has further disrupted these markets, attracting considerable attentio...

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Bibliographic Details
Main Authors: Izunna Anyikwa, Andrew Phiri
Format: Article
Language:English
Published: SpringerOpen 2023-10-01
Series:Future Business Journal
Subjects:
African equities
Commodities
Foreign exchange
Cryptocurrencies
Connectedness
Quantile vector autoregressive (QVAR) model
Online Access:https://doi.org/10.1186/s43093-023-00227-y

Internet

https://doi.org/10.1186/s43093-023-00227-y

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