Dynamic connectedness between global commodity sectors, news sentiment, and sub-Saharan African equities

Emerging Markets Review. 2023. Vol. 56. Article 101049.

Agyei S. K., Umar Z., Bossman A., Teplova T.

We examine the static and time-varying spillovers between global commodity sectors, economic news sentiment, and sub-Saharan African (SSA) equities. In a time-varying parameter vector autoregressions spillover connectedness approach, we find that: (i) there are significant spillovers between SSA equities, economic news sentiment, and global commodity sectors; (ii) the connectedness evolves across different times and is amplified by market crises; (iii) there are suitable market-specific SSA equities that bear safe-haven and hedge attributes for global commodity investors; (iv) agriculture is the main source of return and volatility spillovers; and (v) economic news sentiment index is a net transmitter of spillover during systemic crisis periods such as GFC and the COVID-19 pandemic. Our findings have notable implications for international investors, regulators, and practitioners.

Keywords: развивающиеся рынки, emerging markets, Тропическая Африка, рынки акций, Sub-Saharan Africa, Spillover connectedness, Commodity sectors, Economic news sentiment, Equities markets, сектор сырьевых товаров, новостной сентимент относительно экономики, взаимосвязанность рынков