Examining the currency-equity nexus in frontier African markets: a wavelet-based approach

Autor: Genevieve Gyasi, Joseph Magnus Frimpong, Kwame Mireku
Jazyk: angličtina
Rok vydání: 2024
Předmět:
Zdroj: Cogent Economics & Finance, Vol 12, Iss 1 (2024)
Druh dokumentu: article
ISSN: 23322039
2332-2039
DOI: 10.1080/23322039.2024.2399947
Popis: This research examines the co-movement between exchange rates and equity prices in a selection of frontier African markets (Ghana, Mauritius, and Tunisia). The analysis encompasses data from 4 January 2010 to 31 March 2023. Employing advanced econometric techniques, the study investigates the interconnectedness of frontier markets and the direction of volatility spillovers between currency and equity markets. Our findings revel that Ghana, Mauritius, and Tunisia are characterized by strong sensitivity to price variations and high volatility. Moreover, significant volatility transmission and spillover effects are observed across the selected markets. Finally, the analysis finds the presence of non-linear dynamics in both the time and frequency domains. In light of these findings, policymakers and investors should incorporate the potential for abrupt and persistent changes, as well as volatility spillovers, into their decision-making processes when considering investments in the Ghana, Mauritius, and Tunisia markets. This research is anticipated to contribute to the development of more robust investment strategies for managing risk exposure within diversified portfolios.
Databáze: Directory of Open Access Journals
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