非洲和国际金融市场相互依存:Covid-19 媒体报道是否会产生影响?

Q1 Economics, Econometrics and Finance
Godfred Amewu , Mohammed Armah , Saint Kuttu , Baah Aye Kusi
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引用次数: 0

摘要

本研究采用双部分小波模型、动态条件相关-广义自回归条件异方差(DCC-GARCH)模型和 BEKK GARCH 模型,对选定非洲国家的股票、汇率和国际市场波动指数在不同时频域之间的共动和时变整合进行了研究。首先,研究结果表明,在大流行病期间,全球 COVID-19 媒体报道加剧了股票和汇率之间的共同波动。研究结果表明,在 COVID-19 大流行期间,汇率和股票回报率之间发生了巨大的风险转移,导致国内股票回报率下降和随后的资本外流,这反过来又提高了汇率。鉴于分散投资日益困难,需要有关金融市场关联性波动的具体信息来规划对冲策略。为了探索全球市场波动对非洲股票和货币市场的影响,分析地区和全球市场波动之间的关系至关重要,尤其是考虑到 COVID-19 大流行病的负面影响。我们的实证研究表明,VIX 和 OVXCL 指数在向非洲货币和股票市场传递溢出效应方面发挥了重要作用。这表明,VIX 和 OVXCL 指数提供的情绪指标有助于预测非洲货币和股票市场的行为。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
African and international financial markets interdependencies: Does Covid-19 media coverage make any difference?

This study examines the co-movement and time-varying integration between equity, exchange rate, and international market volatility indices across different time–frequency domains using - bi-partial wavelet, - supplemented by dynamic conditional correlation-generalised autoregressive conditional heteroskedasticity (DCC-GARCH), - and BEKK GARCH model for selected African countries. First, the findings indicate that the co-movement between equity and exchange rates during the pandemic was exacerbated by global COVID-19 media coverage. The findings indicate that there has been a substantial risk transfer between exchange rates and stock returns during the COVID-19 pandemic, resulting in a decline in domestic stock returns and subsequent capital outflows, which in turn increased the exchange rate. Given the growing difficulties in diversification, specific information on the volatility of financial market connectedness is required to plan hedging strategies. To explore the influence of global market volatility on Africa’s equity and currency markets, it is crucial to analyse the relationship between regional and global market fluctuations, especially given the negative impact of the COVID-19 pandemic. Our empirical research demonstrates that the VIX and OVXCL indices play a significant role in transmitting spillovers to currency and equity markets in Africa. This suggests that the sentiment indicators provided by the VIX and OVXCL can be useful in predicting the behaviour of Africa’s currency and equity markets.

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来源期刊
Research in Globalization
Research in Globalization Economics, Econometrics and Finance-Economics, Econometrics and Finance (miscellaneous)
CiteScore
8.00
自引率
0.00%
发文量
31
审稿时长
79 days
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