Modelling the asymmetric linkages between spot gold prices and African stocks

Tweneboah, George; Owusu, Peterson; Kumah, Seyram Pearl

doi:10.1016/j.ribaf.2020.101246

Cited by 24 publications

(9 citation statements)

References 35 publications

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“…Meanwhile, the quantile regression is also robust to outliers, skewness, and heteroscedasticity on the response variable ( Koenker and Hallock, 2001 ) which are increasingly apparent in volatility indices, and may be exacerbated by the pandemic. Due to these intriguing properties, some finance and economic scholars in recent times have directed their attention towards how finance and economic variables behave at different market conditions (see, Badshah et al, 2018 ; Tweneboah et al, 2020 ; Owusu Junior and Tweneboah, 2020 ; Owusu Junior, Adam and Tweneboah, 2020 ; Xiao et al, 2019 ). However, these studies do not examine how crude oil volatility indices relate with stock markets in Africa in their quantile regression estimations.…”

Section: Introductionmentioning

confidence: 99%

Modelling the heterogeneous relationship between the crude oil implied volatility index and African stocks in the coronavirus pandemic

2021

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This paper revisited the crude oil – stock market nexus to examine how the oil implied volatility index (a forward-looking and more accurate measure for uncertainty in oil prices) affects stock returns in major Africa's oil-importing (South Africa, Kenya, Mauritius, and Botswana) and oil-exporting (Nigeria, Egypt, Tunisia, and Morocco) countries during the COVID-19 pandemic. Quantile regression is employed to examine the heterogeneous relationship at different market conditions. The study documents evidence to support a negative relationship between the oil implied volatility shocks and stock returns in the selected stock markets, especially in downturns. Findings from this study also reveal that the oil implied volatility shocks can asymmetrically influence Africa's stocks. Specifically, our empirical evidence reveals that positive shocks in the oil implied volatility index play a key role in most of Africa's stock markets in market downturns while negative shocks play a moderate role during benign market conditions in some of Africa's stock markets during the pandemic. More importantly, our findings divulge that investors can find an invaluable shelter with a portfolio of the selected African stocks and oil market securities in the time of the pandemic. The policy implications are further discussed.

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Section: Introductionmentioning

confidence: 99%

Modelling the heterogeneous relationship between the crude oil implied volatility index and African stocks in the coronavirus pandemic

2021

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“…Finally, this technique presents the correlations within the multivariate in just two plots of WMC and WMCC, and the leading/lagging variable may also be identified simultaneously in one plot. There is enough evidence in the literature that justify the use of wavelet technique in research (Fernández-Macho, 2012; Owusu Junior et al , 2017; Owusu Junior et al , 2018; Tweneboah and Alagidede, 2018; Tweneboah, 2019; Owusu Junior et al , 2019; Tweneboah et al , 2019; Cekin et al , 2019; Tweneboah et al , 2020).…”

Section: Data and Estimation Techniquementioning

confidence: 99%

Interdependence of economic policy uncertainty and business cycles in selected emerging market economies

ADJEI

Tweneboah

Owusu

2022

JFEP

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Purpose The purpose of this paper to investigate the interdependence between economic policy uncertainty (EPU) and business cycles within and among six emerging market economies (EMEs) from January 1999 to December 2018. Design/methodology/approach This study adopts the wavelet multiple correlations and wavelet multiple cross-correlation (WMCC) based on the maximal overlap discrete transform estimator. This methodology simultaneously investigates how two or more time series variables move together continuously at both time and frequency domains. Findings The empirical results show that business cycles comove with EPU for both intra- and inter-country analysis, with the long term showing the greatest degree of interdependence. In intra-country comparisons, EPU has a positive correlation with consumer price index and a negative correlation with share price index. According to the WMCC results, EPU does not have any leading or lagging power within each EME, but rather import has both lead and lag power. The inter-country WMCC results are all significant, with Korea’s EPU leading/following all EMEs across all scales. Originality/value This study contributes to the ongoing debate about what causes business cycles to comove by investigating business cycle indicators (leader/follower) using a robust wavelet methodology. The authors propose new variables that can clearly reflect the outcome of economic policy actions and translate information about EPU shocks. The inclusion of the variables has altered the understanding of the relationship between EPU and business cycle fluctuations. Policymakers also gain new insights into the trends and patterns of EPU and business cycles, which will help them formulate and implement fiscal and monetary policies more effectively.

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“…The results discovered that emerging economies are more sensitive to the bad news, the oil gold prices fluctuations significantly affect the stock market stability (Raza et al, 2016;. Tweneboah et al, (2020) investigates the asymmetric link between Africa's spot gold prices and stock returns. The findings of wavelet and quantile regression demonstrate the mixed effects on Africa's financial market's growth and development.…”

Section: Gold Prices and Financial Developmentmentioning

confidence: 99%

The asymmetric effect of COVID-19 outbreak, commodities prices and policy uncertainty on financial development in China: evidence from QARDL approach

Jiang

Zhang

Razi

et al. 2021

Economic Research-Ekonomska Istraživanja

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COVID-19 epidemic has brought uncertainty to each sector of the global economy, including the financial sector. The widely spread disease has a drastic effect, which massively created health and financial crisis and virtually pushed the economy to the brink of recession. The study focused on the financial development of China during the COVID-19 pandemic and analyzed the long-term and short-term impact of COVID-19, oil prices, gold prices, and global economic policy uncertainty on the financial development of the country. The QARDL model, Wald test, and Granger causality tests are employed to assess the daily data of variables from January 1, 2020, to March 15, 2021. The study's empirical results revealed that an increase in the number of COVID-19 registered patients has an unprecedented negative effect on financial development, whereas the oil prices co-moved with the financial performance. On the other hand, gold prices and global economic policy uncertainty are negatively correlated with financial development. This study offers various policy recommendations to help the investors, government, and decision-makers to make better decisions for the improvement of the financial development of China.

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Modelling the asymmetric linkages between spot gold prices and African stocks

Cited by 24 publications

References 35 publications

Modelling the heterogeneous relationship between the crude oil implied volatility index and African stocks in the coronavirus pandemic

Modelling the heterogeneous relationship between the crude oil implied volatility index and African stocks in the coronavirus pandemic

Interdependence of economic policy uncertainty and business cycles in selected emerging market economies

The asymmetric effect of COVID-19 outbreak, commodities prices and policy uncertainty on financial development in China: evidence from QARDL approach

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