Multiscale tail risk integration between safe-haven assets and Africa's emerging equity market

【Author】 Amponsah, Dan Owusu; Abdullah, Mohammad; Abakah, Emmanuel Joel Aikins; Abor, Joshua Yindenaba; Lee, Chi-Chuan

【Source】NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE

【影响因子】3.136

【Abstract】This study examines the multiscale tail risk integration between safe-haven assets and top equity markets in Africa (South Africa, Kenya, Egypt, Ghana, Nigeria, Botswana, Zambia, and Morocco) as well as portfolio implications. We further investigate the role of global economic factors in these relationships by employing Conditional Autoregressive Value at Risk and Complete Ensemble Empirical Mode Decomposition with Adaptive Noise-based TVP-VAR with data spanning from January 2010 to September 2024. Our findings show that while the equity market in South Africa is a net transmitter of tail risk spillovers, the rest of the equity markets are net receivers. They also reveal that while gold and silver transmit significant shocks to the other assets, Bitcoin receives considerable shocks from the other assets. We conclude that global economic factors and spillovers from safe-haven assets significantly affect the tail risk exposures of Africa's equity markets. Our findings have significant implications for investment decision-making.

【Keywords】Multiscale tail risk; Safe-haven assets; Africa; Stock market; Connectedness; Portfolio

【发表时间】2025 JAN

【收录时间】2024-10-20

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-市场分析