Co-Movement of Africa’s Emerging Stock Markets: A New Look under the COVID-19 Crisis

21 Pages Posted: 2 Oct 2020

See all articles by Maurice Omane-Adjepong

Maurice Omane-Adjepong

University of The Witwatersrand

Godfred Amewu

Ghana Institute of Management and Public Administration (GIMPA)

Imhotep Paul Alagidede

University of the Witwatersrand

Nana Kwame Akosah

Research Department, Bank of Ghana; University of the Witwatersrand, Wits Business School, Students

Date Written: October 1, 2020

Abstract

We investigate the behaviour of the largest Africa’s stock markets and their relatedness with international assets amid the ongoing COVID-19 crisis using the rolling window wavelet correlation measure. Our results suggest that the crisis has had negligible influence on the pairwise correlations of emerging equity markets in Africa, and for that matter, they can still be largely considered as separate assets. Further results, generally, indicate weak positive connectedness and inverse relationship between Africa’s emerging equities and the international markets, signalling hedging potential of the former. The findings presage some crucial implications for investors regarding short-run portfolio diversification and risk management.

Keywords: Financial markets; COVID-19 pandemic; RWWC; Africa

JEL Classification: C32; G11; G15

Suggested Citation

Omane-Adjepong, Maurice and Amewu, Godfred and Paul Alagidede, Imhotep and Akosah, Nana Kwame, Co-Movement of Africa’s Emerging Stock Markets: A New Look under the COVID-19 Crisis (October 1, 2020). Available at SSRN: https://ssrn.com/abstract=3702967 or http://dx.doi.org/10.2139/ssrn.3702967

Maurice Omane-Adjepong (Contact Author)

University of The Witwatersrand ( email )

Johannesburg, 2193
South Africa

Godfred Amewu

Ghana Institute of Management and Public Administration (GIMPA) ( email )

No. 2 Andoh (D) Block
Box AH - 50
Achimota - Accra, West Africa
Ghana

Imhotep Paul Alagidede

University of the Witwatersrand

1 Jan Smuts Avenue
Johannesburg, GA Gauteng 2000
South Africa

Nana Kwame Akosah

Research Department, Bank of Ghana ( email )

P.O. Box GP 2674
One Thorpe Road
Accra
Ghana
+233 267801235 (Phone)

University of the Witwatersrand, Wits Business School, Students ( email )

Johannesburg
South Africa

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