Dynamic Spillovers from US (Un)Conventional Monetary Policy to African Equity Markets: A Time-Varying Parameter Frequency Connectedness and Wavelet Coherence Analysis
Abstract
:1. Introduction
2. Methodology
2.1. Return and Conditional Volatility
2.2. TVP Frequency Connectedness Approach
2.3. Wavelet Coherence
3. Data
4. Empirical Results
4.1. Static TVP Frequency Connectedness Analysis
4.2. Dynamic TVP Frequency Connectedness Analysis
4.3. Wavelet Coherence Analysis
5. Conclusions
Author Contributions
Funding
Data Availability Statement
Conflicts of Interest
Appendix A. Review of Previous Literature
Author | Measure of UMP | Country | Period | Method | Result |
Lim et al. (2014) | 3M TB (liquidity channel), yield curve (portfolio rebalancing), VIX (Confidence channel) | 60 emerging and developing countries (incl. Egypt, Lesotho, Mauritius, Morocco, Mozambique, Namibia, Nigeria, South Africa, Uganda) | 2000:q1–2013:q2 | OLS regressions | TB and Yield curve decrease equity flows whilst VIX is insignificant |
Bowman et al. (2015) | Policy announcements, maturity extension program (MEP), and FOMC speeches | 17 EMEs (incl. South Africa) | 2006:M01–2013:M12 | VAR and event study | US UMP slightly increases the equity prices of EMEs |
Aizenman et al. (2016) | QE and tapering governor, press and FOMC announcements | 10 robust and 15 fragile emerging economies (incl. South Africa) | 27/11/2012–03/10/2013 | Event study | Full sample: negative effect of Ben QT and Press QE announcements; fragile countries: positive effect of Ben QE and negative effect of Press QE announcements |
Estrada et al. (2016) | Taper tantrum dummy | 22 developing countries (Egypt, Kenya, South Africa) | 2013:M05–2013:M06 | Regression analysis/event study | Taper tantrum had negative effect on all African equities |
Anaya et al. (2017) | Fed Balance Sheet | 19 EMEs (incl. South Africa) | 2008:M01–2014:M12 | GVAR and event study | US UMP increased real equity returns in EME for first 5 months |
Gupta et al. (2017) | Treasury yield and tapering dummy | 20 EMEs (incl. South Africa) | 01/10/2008–01/09/2016 | Event Study and OLS | US UMP decreases equity prices in EME |
Fratzscher et al. (2018) | Bernanke speeches and FOMC statements: dummy variables capturing QE, TR (purchases of TB) and LIQ (Fed liquidity operations) | 52 industrialized and emerging economies (including South Africa) | 01/01/2008–31/12/2012 | OLS regressions | QE1 (announcements and operations) increased equity flows to advanced economies whilst QE2 and QE3 triggered a rebalancing outside the US; announcements stronger than actual purchases |
Apostolou and Beirne (2019) | Fed balance sheet | 13 EMEs (incl. South Africa) | 2003:M01–2018:M12 | GARCH-in-mean | UMP has negative impact on equity markets |
Kabundi et al. (2020) | FRED Policy Interest Rate (PIR) and Asset Purchase | South Africa | 1990:M01–2018:M02 | BVAR and event study | US CMP and UMP have positive impact on SA equities after 20 months |
Kalu et al. (2020) | US 10-year bond and Treasury Bill | Six African countries (Egypt, Kenya, Ghana, Morocco, Nigeria, South Africa) | 01/05/2013–31/12/2018 | FE, RE and PMG | US UMP has a negative effect on African equities |
Meszaros and Olson (2020) | Monetary base and Divisia M4 | SA | 1960:Q1–2008:Q3 (Non-QE period) and 2008:Q4–2018:Q3 (QE period) | VAR | US UMP increase SA stock prices for Non-QE periods but decreased for Divisia QE policies |
Ono (2020) | SSR | 23 industrialized and emerging economies (incl. South Africa) | 09/01/2004–29/12/2017 | GVAR | US CMP and UMP tightening, and easing has negative impact on SA equity markets for first 4 months; stronger effect during UMP |
Bhattarai et al. (2021) | US Treasuries, debt and mortgage-backed securities | 13 EMEs (incl. South Africa) | 2008:M01–2014:M11 | Bayesian PVAR | US UMP increases stock prices |
Lubys and Panda (2021) | FOMC Policy announcements, | BRICS | 01/01/2008–01/01/2017 | Event Study, AR, CAR and CAPM | US UMP announcements have a positive (negative) impact on the SA consumer and financial (materials) sectors |
Wei and Han (2021) | Policy rate and dummy for FOMC policy announcements | 37 industrialized and emerging economies (incl. South Africa) | 01/01/2011–30/01/2020 | Event study | positive effect policy rate for full sample negative (insign.) effect of UMP announcement (policy rate) during COVID-19 period |
Yildirim and Ivrendi (2021) | US mortgage spread and US term spread | 20 EMEs and 20 AEs | 01/06/2007–01/02/2013 | SVAR | US UMP causes negative shocks on stock prices in both AEs and EMEs |
Abdullah and Hassanien (2022) | US SSR | Egypt | 2001:Q1–2019:Q4 | SVAR | US UMP has a significant positive impact on equity prices up to 17 quarters then turns negative |
Ntshangase et al. (2023) | Dummy variable as a proxy for United States’ QE | 12 EMEs (South Africa, Algeria, Morocco and Tunisia) | 2000:Q1–2020:Q4 | Panel VAR | US UMP has no significant impact on stock prices |
Cui et al. (2024) | SSR | 33 emerging and advanced countries (incl. South Africa) | 2002:Q2–2021:Q4 | TGVAR | EMEs are more vulnerable to spillover effects than AEs, and EMs are much more exposed to monetary policy shocks than AEs |
Appendix B. Total, Short-Run and Long-Run Static Connectedness Results (Returns)
Panel A: Total static connectedness | Botswana | BRVM | Egypt | Kenya | Mauritius | Morocco | Namibia | Nigeria | RSA | Tanzania | Tunisia | SSR | From |
Botswana | 88.9 | 0.75 | 0.98 | 1.25 | 1.06 | 1.01 | 1.53 | 1.43 | 1.12 | 0.95 | 1.02 | 0.70 | 11.81 |
BRVM | 0.96 | 85.56 | 1.41 | 1.66 | 1.17 | 1.66 | 1.06 | 1.62 | 1.14 | 1.22 | 1.97 | 0.57 | 14.44 |
Egypt | 1.17 | 1.13 | 82.71 | 1.46 | 1.35 | 1.39 | 2.67 | 1.47 | 2.82 | 1.03 | 1.89 | 0.92 | 17.29 |
Kenya | 1.15 | 1.04 | 1.34 | 81.22 | 2.18 | 1.57 | 1.76 | 2.55 | 2.01 | 2.43 | 1.82 | 0.93 | 18.78 |
Mauritius | 1.30 | 1.09 | 1.49 | 1.51 | 81.24 | 2.12 | 2.93 | 1.61 | 2.44 | 0.90 | 2.25 | 1.10 | 18.76 |
Morocco | 1.26 | 1.30 | 1.23 | 1.39 | 2.05 | 83.91 | 1.85 | 1.28 | 1.74 | 1.03 | 1.86 | 1.10 | 16.09 |
Namibia | 0.88 | 0.66 | 1.16 | 0.93 | 1.60 | 1.36 | 56.19 | 1.03 | 33.03 | 0.80 | 1.40 | 0.97 | 43.81 |
Nigeria | 1.48 | 1.20 | 1.30 | 2.29 | 2.02 | 1.56 | 1.88 | 82.90 | 2.14 | 1.19 | 1.28 | 0.76 | 17.10 |
RSA | 0.68 | 0.75 | 1.18 | 1.07 | 1.15 | 1.38 | 30.45 | 0.96 | 59.70 | 0.82 | 0.93 | 0.90 | 40.30 |
Tanzania | 0.76 | 1.09 | 0.88 | 2.48 | 1.43 | 1.29 | 0.99 | 1.22 | 1.04 | 87.40 | 0.91 | 0.51 | 12.60 |
Tunisia | 0.90 | 1.33 | 1.42 | 1.28 | 2.40 | 2.00 | 2.54 | 1.23 | 1.55 | 0.73 | 83.72 | 0.91 | 16.28 |
SSR | 1.33 | 0.85 | 1.69 | 1.57 | 2.46 | 1.84 | 1.89 | 1.92 | 1.25 | 1.02 | 1.30 | 82.89 | 17.11 |
To | 11.89 | 11.19 | 14.09 | 16.88 | 18.87 | 17.18 | 49.55 | 16.32 | 50.28 | 12.12 | 16.64 | 9.34 | 244.36 |
Inc. Own | 100.08 | 96.75 | 96.81 | 98.11 | 100.12 | 101.09 | 105.74 | 99.22 | 109.98 | 99.52 | 100.36 | 92.24 | TCI = 20.36 |
Net | 0.08 | −3.25 | −3.19 | −1.89 | 0.12 | 1.09 | 5.74 | −0.78 | 9.98 | −0.48 | 0.36 | −7.76 | |
Panel B: Short-run static connectedness (frequency band = 1–5 days) | |||||||||||||
Botswana | 48.54 | 0.34 | 0.44 | 0.47 | 0.49 | 0.47 | 0.75 | 0.62 | 0.52 | 0.42 | 0.47 | 0.18 | 5.17 |
BRVM | 0.46 | 55.10 | 0.68 | 0.64 | 0.58 | 0.88 | 0.58 | 0.70 | 0.61 | 0.61 | 0.93 | 0.28 | 6.95 |
Egypt | 0.54 | 0.55 | 46.18 | 0.59 | 0.62 | 0.76 | 1.53 | 0.61 | 1.66 | 0.48 | 0.77 | 0.44 | 8.54 |
Kenya | 0.39 | 0.48 | 0.43 | 38.62 | 0.63 | 0.57 | 0.61 | 0.72 | 0.64 | 0.66 | 0.61 | 0.33 | 6.05 |
Mauritius | 0.53 | 0.51 | 0.60 | 0.60 | 43.59 | 0.83 | 1.07 | 0.67 | 0.83 | 0.41 | 1.05 | 0.45 | 7.55 |
Morocco | 0.51 | 0.66 | 0.62 | 0.61 | 0.90 | 46.98 | 0.86 | 0.57 | 0.81 | 0.47 | 0.93 | 0.51 | 7.45 |
Namibia | 0.60 | 0.42 | 0.65 | 0.52 | 0.93 | 0.85 | 37.96 | 0.59 | 20.51 | 0.43 | 0.89 | 0.59 | 26.98 |
Nigeria | 0.65 | 0.52 | 0.52 | 0.79 | 0.81 | 0.60 | 0.81 | 40.45 | 0.67 | 0.45 | 0.62 | 0.30 | 6.75 |
RSA | 0.43 | 0.43 | 0.57 | 0.60 | 0.58 | 0.80 | 20.61 | 0.51 | 39.57 | 0.43 | 0.52 | 0.52 | 26.01 |
Tanzania | 0.44 | 0.52 | 0.46 | 0.91 | 0.54 | 0.59 | 0.55 | 0.51 | 0.62 | 50.99 | 0.39 | 0.25 | 5.78 |
Tunisia | 0.44 | 0.69 | 0.64 | 0.56 | 1.03 | 0.89 | 1.03 | 0.54 | 0.71 | 0.41 | 46.42 | 0.34 | 7.27 |
SSR | 0.01 | 0.01 | 0.01 | 0.01 | 0.01 | 0.01 | 0.01 | 0.01 | 0.01 | 0.01 | 0.01 | 0.08 | 0.08 |
To | 4.99 | 5.13 | 5.61 | 6.30 | 7.11 | 7.25 | 28.41 | 6.05 | 27.58 | 4.77 | 7.18 | 4.20 | 114.58 |
Inc. Own | 53.53 | 60.23 | 51.80 | 44.92 | 50.71 | 54.22 | 66.37 | 46.50 | 67.14 | 55.77 | 53.60 | 4.27 | TCI = 18.81 |
Net | −0.18 | −1.82 | −2.93 | 0.25 | −0.44 | −0.21 | 1.43 | −0.70 | 1.57 | −1.01 | −0.09 | 4.12 | |
Panel C: Long-run static connectedness (frequency band = 6 days–end of the period) | |||||||||||||
Botswana | 39.65 | 0.41 | 0.55 | 0.78 | 0.57 | 0.54 | 0.78 | 0.81 | 0.60 | 0.53 | 0.56 | 0.52 | 6.64 |
BRVM | 0.50 | 30.46 | 0.73 | 1.02 | 0.60 | 0.78 | 0.47 | 0.92 | 0.53 | 0.61 | 1.04 | 0.29 | 7.49 |
Egypt | 0.63 | 0.58 | 36.53 | 0.87 | 0.73 | 0.63 | 1.14 | 0.86 | 1.16 | 0.56 | 1.12 | 0.47 | 8.74 |
Kenya | 0.76 | 0.56 | 0.91 | 42.60 | 1.55 | 1.00 | 1.16 | 1.83 | 1.37 | 1.77 | 1.21 | 0.60 | 12.72 |
Mauritius | 0.78 | 0.59 | 0.90 | 0.91 | 37.65 | 1.29 | 1.86 | 0.94 | 1.61 | 0.49 | 1.20 | 0.65 | 11.21 |
Morocco | 0.76 | 0.64 | 0.61 | 0.77 | 1.15 | 36.94 | 0.99 | 0.71 | 0.93 | 0.56 | 0.93 | 0.58 | 8.63 |
Namibia | 0.28 | 0.24 | 0.51 | 0.41 | 0.68 | 0.51 | 18.23 | 0.44 | 12.52 | 0.38 | 0.51 | 0.38 | 16.84 |
Nigeria | 0.83 | 0.67 | 0.78 | 1.49 | 1.22 | 0.96 | 1.08 | 42.44 | 1.48 | 0.74 | 0.66 | 0.46 | 10.36 |
RSA | 0.27 | 0.32 | 0.61 | 0.47 | 0.57 | 0.59 | 9.84 | 0.46 | 20.13 | 0.38 | 0.41 | 0.37 | 14.30 |
Tanzania | 0.32 | 0.57 | 0.42 | 1.57 | 0.89 | 0.70 | 0.44 | 0.70 | 0.42 | 36.41 | 0.52 | 0.26 | 6.82 |
Tunisia | 0.46 | 0.64 | 0.78 | 0.72 | 1.37 | 1.11 | 1.50 | 0.69 | 0.84 | 0.32 | 37.30 | 0.57 | 9.01 |
SSR | 1.33 | 0.84 | 1.68 | 1.56 | 2.45 | 1.83 | 1.88 | 1.91 | 1.24 | 1.01 | 1.29 | 82.82 | 17.03 |
To | 6.90 | 6.05 | 8.48 | 10.58 | 11.76 | 9.93 | 21.14 | 10.27 | 22.70 | 7.35 | 9.46 | 5.15 | 129.78 |
Inc. Own | 46.56 | 36.52 | 45.01 | 53.19 | 49.41 | 46.87 | 39.37 | 52.71 | 42.84 | 43.75 | 46.76 | 87.96 | TCI = 25.45 |
Net | 0.26 | −1.43 | −0.27 | −2.14 | 0.56 | 1.30 | 4.31 | −0.09 | 8.41 | 0.53 | 0.45 | −11.88 |
Appendix C. Total, Short-Run and Long-Run Static Connectedness Results (Volatility)
Panel A: Total static connectedness | Botswana | BRVM | Egypt | Kenya | Mauritius | Morocco | Namibia | Nigeria | RSA | Tanzania | Tunisia | SSR | From |
Botswana | 72.70 | 1.01 | 3.84 | 0.97 | 2.32 | 1.74 | 6.50 | 1.90 | 2.14 | 1.40 | 2.82 | 2.66 | 27.30 |
BRVM | 1.53 | 78.95 | 2.21 | 1.47 | 1.73 | 1.81 | 3.91 | 1.45 | 1.34 | 1.79 | 1.87 | 1.95 | 21.05 |
Egypt | 2.16 | 1.12 | 53.54 | 2.56 | 4.60 | 4.55 | 8.20 | 3.51 | 6.86 | 4.41 | 3.25 | 5.25 | 46.46 |
Kenya | 1.49 | 1.72 | 3.89 | 63.59 | 4.28 | 2.33 | 5.67 | 3.17 | 2.18 | 5.83 | 2.88 | 2.98 | 36.41 |
Mauritius | 2.05 | 1.56 | 5.62 | 3.00 | 46.00 | 3.91 | 11.92 | 2.73 | 6.19 | 4.14 | 2.86 | 10.02 | 54.00 |
Morocco | 1.69 | 1.45 | 4.02 | 1.79 | 5.41 | 66.89 | 4.51 | 2.91 | 3.14 | 2.63 | 3.20 | 2.36 | 33.11 |
Namibia | 1.58 | 1.51 | 6.70 | 3.34 | 8.76 | 3.24 | 36.28 | 3.18 | 10.97 | 8.30 | 2.24 | 13.90 | 63.72 |
Nigeria | 2.05 | 0.94 | 4.48 | 2.62 | 3.65 | 2.57 | 4.95 | 68.95 | 2.26 | 2.85 | 1.99 | 2.70 | 31.05 |
RSA | 1.72 | 1.25 | 5.27 | 3.11 | 4.83 | 3.28 | 19.33 | 2.76 | 48.09 | 3.39 | 2.91 | 4.07 | 51.91 |
Tanzania | 1.53 | 0.95 | 3.79 | 1.80 | 2.47 | 1.96 | 4.61 | 2.20 | 2.39 | 71.61 | 2.15 | 4.54 | 28.39 |
Tunisia | 1.69 | 0.58 | 3.26 | 1.57 | 3.02 | 2.70 | 4.59 | 2.35 | 2.75 | 2.18 | 71.94 | 3.37 | 28.06 |
SSR | 2.93 | 1.58 | 8.73 | 4.64 | 9.07 | 3.55 | 17.23 | 4.22 | 8.59 | 11.49 | 13.80 | 24.18 | 75.82 |
To | 20.42 | 13.66 | 51.80 | 26.85 | 50.17 | 31.62 | 91.41 | 30.37 | 48.83 | 48.39 | 29.96 | 53.81 | 497.29 |
Inc. Own | 93.12 | 92.61 | 105.34 | 90.43 | 96.16 | 98.52 | 127.69 | 99.37 | 96.92 | 120.01 | 101.90 | 77.99 | TCI = 41.44 |
Net | −6.88 | −7.39 | 5.34 | −9.57 | −3.84 | −1.48 | 27.69 | −0.68 | −3.08 | 20.01 | 1.90 | −22.01 | |
Panel B: Short-run static connectedness (frequency band = 1–5 days) | |||||||||||||
Botswana | 18.81 | 0.11 | 0.23 | 0.05 | 0.14 | 0.11 | 0.20 | 0.21 | 0.13 | 0.15 | 0.22 | 0.23 | 1.75 |
BRVM | 0.23 | 34.53 | 0.32 | 0.30 | 0.28 | 0.30 | 0.20 | 0.20 | 0.26 | 0.22 | 0.26 | 0.32 | 2.89 |
Egypt | 0.13 | 0.04 | 5.50 | 0.07 | 0.16 | 0.14 | 0.11 | 0.11 | 0.16 | 0.15 | 0.21 | 0.25 | 1.54 |
Kenya | 0.03 | 0.12 | 0.13 | 10.62 | 0.19 | 0.07 | 0.15 | 0.14 | 0.10 | 0.06 | 0.13 | 0.15 | 1.26 |
Mauritius | 0.06 | 0.04 | 0.12 | 0.09 | 5.20 | 0.17 | 0.08 | 0.08 | 0.07 | 0.06 | 0.12 | 0.17 | 1.07 |
Morocco | 0.12 | 0.15 | 0.36 | 0.11 | 0.32 | 13.92 | 0.09 | 0.21 | 0.23 | 0.16 | 0.31 | 0.23 | 2.28 |
Namibia | 0.01 | 0.01 | 0.08 | 0.04 | 0.05 | 0.03 | 2.68 | 0.03 | 0.46 | 0.09 | 0.05 | 0.24 | 1.10 |
Nigeria | 0.10 | 0.08 | 0.15 | 0.14 | 0.14 | 0.09 | 0.14 | 12.41 | 0.10 | 0.14 | 0.10 | 0.15 | 1.32 |
RSA | 0.03 | 0.05 | 0.12 | 0.07 | 0.05 | 0.07 | 0.18 | 0.05 | 4.75 | 0.03 | 0.09 | 0.06 | 1.79 |
Tanzania | 0.12 | 0.05 | 0.25 | 0.04 | 0.15 | 0.11 | 0.13 | 0.18 | 0.05 | 9.57 | 0.20 | 0.32 | 1.59 |
Tunisia | 0.35 | 0.11 | 0.60 | 0.22 | 0.49 | 0.37 | 0.34 | 0.28 | 0.33 | 10.37 | 24.22 | 0.94 | 4.40 |
SSR | 0.04 | 0.02 | 0.09 | 0.04 | 0.06 | 0.04 | 0.18 | 0.04 | 0.05 | 10.12 | 0.07 | 0.88 | 0.75 |
To | 1.22 | 0.77 | 2.45 | 1.16 | 0.02 | 1.51 | 2.80 | 1.54 | 1.95 | 1.54 | 1.76 | 3.06 | 21.77 |
Inc. Own | 20.03 | 35.30 | 7.95 | 11.78 | 7.22 | 15.43 | 5.49 | 13.95 | 6.70 | 11.11 | 25.98 | 3.94 | TCI = 13.20 |
Net | −0.55 | −2.12 | 0.91 | −0.10 | 0.95 | −0.77 | 1.70 | 0.21 | 0.16 | −0.05 | −2.65 | 2.31 | |
Panel C: Long-run static connectedness (frequency band = 6 days–end of the period) | |||||||||||||
Botswana | 53.89 | 0.90 | 3.61 | 0.93 | 2.19 | 1.62 | 6.30 | 1.69 | 2.01 | 1.25 | 2.60 | 2.44 | 25.54 |
BRVM | 1.29 | 44.42 | 1.89 | 1.17 | 1.45 | 1.51 | 3.70 | 1.24 | 1.08 | 1.56 | 1.61 | 1.63 | 18.15 |
Egypt | 2.03 | 1.08 | 48.03 | 2.49 | 4.45 | 4.41 | 8.08 | 3.40 | 6.70 | 4.26 | 3.03 | 5.00 | 44.93 |
Kenya | 1.46 | 1.60 | 3.75 | 52.96 | 4.09 | 2.26 | 5.52 | 3.03 | 2.09 | 5.77 | 2.75 | 2.84 | 35.15 |
Mauritius | 1.99 | 1.52 | 5.50 | 2.91 | 40.80 | 3.74 | 11.84 | 2.65 | 6.12 | 4.08 | 2.75 | 9.85 | 52.94 |
Morocco | 1.58 | 1.30 | 3.66 | 1.67 | 5.09 | 52.97 | 4.42 | 2.70 | 2.91 | 2.47 | 2.89 | 2.13 | 30.83 |
Namibia | 1.57 | 1.49 | 6.62 | 3.30 | 8.72 | 3.21 | 33.60 | 3.14 | 10.51 | 8.21 | 2.19 | 13.66 | 62.62 |
Nigeria | 1.95 | 0.86 | 4.33 | 2.47 | 3.51 | 2.47 | 4.81 | 56.54 | 2.16 | 2.71 | 1.89 | 2.55 | 29.72 |
RSA | 1.69 | 1.20 | 5.15 | 3.04 | 4.78 | 3.21 | 18.15 | 2.71 | 43.34 | 3.36 | 2.82 | 4.00 | 50.12 |
Tanzania | 1.41 | 0.90 | 3.54 | 1.75 | 2.33 | 1.85 | 4.47 | 2.02 | 2.34 | 62.04 | 1.95 | 4.23 | 26.80 |
Tunisia | 1.34 | 0.47 | 2.66 | 1.35 | 2.53 | 2.33 | 4.25 | 2.07 | 2.42 | 1.81 | 47.72 | 2.43 | 23.66 |
SSR | 2.89 | 1.56 | 8.63 | 4.60 | 9.01 | 3.51 | 17.05 | 4.17 | 8.55 | 11.38 | 3.72 | 23.30 | 75.07 |
To | 19.20 | 12.89 | 49.35 | 25.69 | 48.15 | 30.12 | 88.60 | 28.83 | 46.88 | 46.85 | 28.21 | 50.76 | 475.52 |
Inc. Own | 73.09 | 57.31 | 97.38 | 78.65 | 88.95 | 83.09 | 122.20 | 85.37 | 90.22 | 108.89 | 75.92 | 74.05 | TCI = 45.94 |
Net | −6.33 | −5.27 | 4.43 | −9.47 | −4.79 | −0.71 | 25.99 | −0.89 | −3.24 | 20.06 | 4.55 | −24.32 |
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Panel A: Returns | Botswana | BRVM | Egypt | Kenya | Mauritius | Morocco | Namibia | Nigeria | RSA | Tanzania | Tunisia | SSR |
---|---|---|---|---|---|---|---|---|---|---|---|---|
Mean | 0.007 | 0.033 | −0.033 | 0.008 | 0.023 | 0.007 | −0.015 | 0.060 | 0.017 | 0.032 | 0.051 | −1.323 |
Std. Dev. | 0.412 | 0.806 | 1.832 | 0.839 | 0.702 | 0.763 | 3.184 | 1.081 | 1.221 | 1.178 | 0.526 | 2.763 |
Skewness | 0.972 | 0.151 | −2.367 | 0.341 | −0.701 | −0.630 | 0.875 | 0.062 | −0.184 | 0.573 | −0.753 | 1.227 |
Kurtosis | 54.656 | 7.665 | 16.849 | 15.056 | 43.770 | 13.275 | 1641.750 | 12.727 | 8.279 | 57.817 | 14.672 | 3.444 |
Jarque-Bera | 660,580 | 5403 | 52,955 | 36,047 | 411,386 | 26,493 | 664,000,000 | 23,391 | 6922 | 1538 | 743,153 | 34,239 |
ADF | −33.807 *** | −40.165 *** | −10.237 *** | −32.055 *** | −46.519 *** | −36.313 *** | −102.321 *** | −32.443 *** | −41.315 *** | −36.395 *** | −36.501 *** | −11.268 *** |
PP | −57.865 *** | −59.090 *** | −58.905 *** | −40.005 *** | −48.519 *** | −46.622 *** | 102.850 *** | −47.057 *** | −55.293 *** | −68.291 *** | −47.118 *** | −92.204 *** |
KPSS | 0.30 | 0.18 | 0.19 | 0.23 | 0.29 | 0.15 | 0.15 | 0.14 | 0.08 | 0.13 | 0.32 | 0.26 |
LB(10) | 235.010 *** | 95.541 *** | 302.034 *** | 89.911 *** | 44.767 *** | 60.280 *** | 12.137 | 61.305 *** | 84.100 *** | 76.046 *** | 58.992 *** | -- |
LB2(10) | 1165.30 *** | 818.37 *** | 1312.20 *** | 1182.30 *** | 1832.20 *** | 2792.10 *** | 1099.20 *** | 701.66 *** | 5613.00 *** | 2566.60 *** | 2049.90 *** | -- |
ARCH test(10) | 1037.68 *** | 586.78 *** | 616.598 *** | 1174.23 *** | 1137.69 *** | 1396.98 *** | 1189.50 *** | 623.978 *** | 1579.57 *** | 1712.51 *** | 1356.15 *** | -- |
Panel B: Volatility | Botswana | BRVM | Egypt | Kenya | Mauritius | Morocco | Namibia | Nigeria | RSA | Tanzania | Tunisia | -- |
Mean | 0.144 | 0.572 | 2.217 | 0.478 | 0.406 | 0.451 | 41.995 | 0.847 | 1.344 | 1.992 | 0.211 | -- |
Std. Dev. | 0.525 | 0.606 | 3.711 | 1.004 | 1.447 | 0.791 | 705.151 | 1.716 | 1.908 | 8.991 | 0.433 | -- |
Skewness | 13.278 | 8.260 | 6.306 | 18.689 | 8.580 | 13.174 | 27.239 | 18.146 | 7.199 | 12.333 | 12.992 | -- |
Kurtosis | 229.593 | 118.999 | 49.479 | 514.406 | 93.139 | 257.734 | 836.802 | 451.222 | 78.076 | 201.097 | 246.654 | -- |
Jarque-Bera | 12864953 | 3393239 | 573265 | 64988400 | 2081033 | 16210080 | 173000000 | 49982027 | 1444346 | 9849827 | 14840476 | -- |
ADF | −25.191 *** | −36.150 *** | −8.030 *** | −19.993 *** | −8.427 *** | −13.276 *** | −17.263 *** | −19.096 *** | −9.879 *** | −20.665 *** | −25.385 *** | -- |
PP | −19.850 *** | −36.283 *** | −7.750 *** | −15.077 *** | −11.323 *** | −18.319 *** | −12.745 *** | −17.667 *** | −8.617 *** | −11.930 *** | −23.208 *** | -- |
KPSS | 0.09 | 0.28 | 0.33 | 0.36 * | 0.37 * | 0.31 | 0.12 | 0.37 * | 0.41 * | 0.26 | 0.28 * | |
LB(10) | 148.09 *** | 107.060 *** | 39.694 *** | 95.144 *** | 91.010 *** | 101.750 *** | 11.403 | 85.576 *** | 31.356 *** | 46.558 *** | 74.586 *** | -- |
LB2(10) | 3.274 | 9.467 | 21.344 ** | 21.790 ** | 64.846 *** | 31.940 *** | 0.007 | 27.120 *** | 47.139 *** | 0.416 | 5.361 | -- |
ARCH test(10) | 3.237 | 9.221 | 21.339 ** | 21.307 ** | 61.859 *** | 31.787 *** | 0.007 | 27.292 *** | 44.491 *** | 0.412 | 5.354 | -- |
Net Receivers | Net Transmitters | |
---|---|---|
Panel A: Returns spillovers | ||
Total | BRVM, Egypt, Kenya, Nigeria, Tanzania, US_SSR | Botswana, Mauritius, Morocco, Namibia, RSA, Tunisia |
SR | Botswana, BRVM, Egypt, Mauritius, Morocco, Nigeria, Tanzania, Tunisia | Kenya, Namibia, RSA, US_SSR |
LR | BRVM, Egypt, Kenya, Nigeria, US_SSR | Botswana, Mauritius, Morocco, Namibia, RSA, Tanzania, Tunisia |
Panel B: Volatility spillovers | ||
Total | Botswana, BRVM, Kenya, Mauritius, Morocco, Nigeria, RSA, US_SSR | Egypt, Namibia, Tanzania, Tunisia |
SR | Botswana, BRVM, Kenya, Morocco, Tanzania, Tunisia | Egypt, Mauritius, Namibia, Nigeria, RSA, US_SSR |
LR | Botswana, BRVM, Kenya, Mauritius, Morocco, Nigeria, RSA, US_SSR | Egypt, Namibia, Tanzania, Tunisia |
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Phiri, A.; Anyikwa, I. Dynamic Spillovers from US (Un)Conventional Monetary Policy to African Equity Markets: A Time-Varying Parameter Frequency Connectedness and Wavelet Coherence Analysis. J. Risk Financial Manag. 2024, 17, 474. https://doi.org/10.3390/jrfm17110474
Phiri A, Anyikwa I. Dynamic Spillovers from US (Un)Conventional Monetary Policy to African Equity Markets: A Time-Varying Parameter Frequency Connectedness and Wavelet Coherence Analysis. Journal of Risk and Financial Management. 2024; 17(11):474. https://doi.org/10.3390/jrfm17110474
Chicago/Turabian StylePhiri, Andrew, and Izunna Anyikwa. 2024. "Dynamic Spillovers from US (Un)Conventional Monetary Policy to African Equity Markets: A Time-Varying Parameter Frequency Connectedness and Wavelet Coherence Analysis" Journal of Risk and Financial Management 17, no. 11: 474. https://doi.org/10.3390/jrfm17110474