African stock markets’ connectedness: Quantile VAR approach
The present paper investigates African stock markets’ linkages by considering stocks in the continent’s largest economies, specifically Egypt, Kenya, Morocco, Nigeria, South Africa, and Tunisia. Using a dataset that spanned November 25, 2008, to September 18, 2023, the quantile connectedness approa...
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| Format: | Article |
| Language: | English |
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Modern Finance Institute
2024-02-01
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| Series: | Modern Finance |
| Subjects: | |
| Online Access: | https://mf-journal.com/article/view/70 |
| _version_ | 1797294415298953216 |
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| author | OlaOluwa Yaya Olayinka Adenikinju Hammed A. Olayinka |
| author_facet | OlaOluwa Yaya Olayinka Adenikinju Hammed A. Olayinka |
| author_sort | OlaOluwa Yaya |
| collection | DOAJ |
| description |
The present paper investigates African stock markets’ linkages by considering stocks in the continent’s largest economies, specifically Egypt, Kenya, Morocco, Nigeria, South Africa, and Tunisia. Using a dataset that spanned November 25, 2008, to September 18, 2023, the quantile connectedness approach of Chatziantoniou et al. (2021) is employed, and the results unfold these interesting dynamics of African market connectivity: (i) In the bearish market phase, South African stock dominated the entire network, transmitting shocks to the remaining stocks, while Moroccan and Kenyan stocks played similar role mildly. (ii) In the bullish market phase, Nigerian stock dominated the market as a major net transmitter of shock supported by South African and Kenyan stock markets. (iii), The Egyptian and Tunis stock markets are net shock receivers in both the bear and bull market phases. (iv), At the median quantile value, stocks become less riskier and the Kenyan stock market becomes the most vulnerable while Nigerian, Egyptian, and South African stock markets are influenced by other stock markets when markets are calm. (v), Though, African stocks are underperforming, interested portfolio managers will learn from the trading strategies to be adopted to maximize their returns. These findings will benefit portfolio managers, international stakeholders, and regulators.
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| first_indexed | 2024-03-07T21:30:50Z |
| format | Article |
| id | doaj.art-9793de1f35fd4d6caf4adf1afd3bf867 |
| institution | Directory Open Access Journal |
| issn | 2956-7742 |
| language | English |
| last_indexed | 2024-03-07T21:30:50Z |
| publishDate | 2024-02-01 |
| publisher | Modern Finance Institute |
| record_format | Article |
| series | Modern Finance |
| spelling | doaj.art-9793de1f35fd4d6caf4adf1afd3bf8672024-02-26T16:19:27ZengModern Finance InstituteModern Finance2956-77422024-02-012110.61351/mf.v2i1.70African stock markets’ connectedness: Quantile VAR approachOlaOluwa Yaya0Olayinka Adenikinju1Hammed A. Olayinka2Economic and Financial Statistics Unit, Department of Statistics, University of Ibadan, Ibadan, Nigeria & Centre for Econometrics and Applied Research, IbadanDepartment of Economics, Bowen University, IwoDepartment of Mathematical Sciences, Worcester Polytechnic Institute, Worcester The present paper investigates African stock markets’ linkages by considering stocks in the continent’s largest economies, specifically Egypt, Kenya, Morocco, Nigeria, South Africa, and Tunisia. Using a dataset that spanned November 25, 2008, to September 18, 2023, the quantile connectedness approach of Chatziantoniou et al. (2021) is employed, and the results unfold these interesting dynamics of African market connectivity: (i) In the bearish market phase, South African stock dominated the entire network, transmitting shocks to the remaining stocks, while Moroccan and Kenyan stocks played similar role mildly. (ii) In the bullish market phase, Nigerian stock dominated the market as a major net transmitter of shock supported by South African and Kenyan stock markets. (iii), The Egyptian and Tunis stock markets are net shock receivers in both the bear and bull market phases. (iv), At the median quantile value, stocks become less riskier and the Kenyan stock market becomes the most vulnerable while Nigerian, Egyptian, and South African stock markets are influenced by other stock markets when markets are calm. (v), Though, African stocks are underperforming, interested portfolio managers will learn from the trading strategies to be adopted to maximize their returns. These findings will benefit portfolio managers, international stakeholders, and regulators. https://mf-journal.com/article/view/70Quantile dynamic connectednessMarket phasesVector autoregressionportfolio managementnormal market conditionlower quantile of returns |
| spellingShingle | OlaOluwa Yaya Olayinka Adenikinju Hammed A. Olayinka African stock markets’ connectedness: Quantile VAR approach Modern Finance Quantile dynamic connectedness Market phases Vector autoregression portfolio management normal market condition lower quantile of returns |
| title | African stock markets’ connectedness: Quantile VAR approach |
| title_full | African stock markets’ connectedness: Quantile VAR approach |
| title_fullStr | African stock markets’ connectedness: Quantile VAR approach |
| title_full_unstemmed | African stock markets’ connectedness: Quantile VAR approach |
| title_short | African stock markets’ connectedness: Quantile VAR approach |
| title_sort | african stock markets connectedness quantile var approach |
| topic | Quantile dynamic connectedness Market phases Vector autoregression portfolio management normal market condition lower quantile of returns |
| url | https://mf-journal.com/article/view/70 |
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