In this work, we study whether the price fluctuations amongst exchange rates, stock and commodities markets are dynamically influentially linked and dependent within African economies, as there is a dearth of literature on this subject. The study models monthly price changes amongst these markets between the years 2000 and 2019 using a copula based DCC GARCH framework for a sample of twenty highest ranked African economies by nominal GDP. The results show evidence of time varying co-movement amongst these markets that tend to increase during times of turbulence in sampled markets. Dynamic relations are found to be quantitatively and relatively substantial for economies of Egypt, South Africa, Tanzania, Libya and Zambia. The results from this study would improve the risk management decisions by investment managers, individual investors and investment regulators.
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