Global commodity and equity markets spillovers to Africa during the COVID-19 pandemic
Christian Urom (Paris School of Business)
G.O. Ndubuisi (TU Delft - Economics of Technology and Innovation, UNU-MERIT, German Institute for Development and sustainability)
Gaye Del Loe (Sorbonne Université, Paris)
Denis Yuni (National University of Lesotho)
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Abstract
This paper examines the connectedness among 12 African equity markets and the global commodity, developed equity markets, paying particular attention to their evolution during the COVID-19 pandemic's peak period. We find that whilst African equity markets connect weakly to these markets, the levels of connectedness among these markets improved significantly during the pandemic. In addition, the energy market dominates the transmission of shocks in the system with commodity markets. Regarding the system with equity markets, the French and South African equity markets transmit the highest spillover in the full sample and during the pandemic's peak period, respectively.
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