Boateng Ebenezer, Adam Anokye M, Junior Peterson Owusu
Department of Finance, School of Business, University of Cape Coast, Ghana.
Resour Policy. 2021 Dec;74:102389. doi: 10.1016/j.resourpol.2021.102389. Epub 2021 Oct 5.
This paper revisited the crude oil - stock market nexus to examine how the oil implied volatility index (a forward-looking and more accurate measure for uncertainty in oil prices) affects stock returns in major Africa's oil-importing (South Africa, Kenya, Mauritius, and Botswana) and oil-exporting (Nigeria, Egypt, Tunisia, and Morocco) countries during the COVID-19 pandemic. Quantile regression is employed to examine the heterogeneous relationship at different distributions of stock returns. The study documents evidence to support a negative relationship between the oil implied volatility shocks and stock returns in the selected stock markets, especially in downturns. Findings from this study also reveal that the oil implied volatility shocks can asymmetrically influence Africa's stocks. Specifically, our empirical evidence reveals that positive shocks in the oil implied volatility index play a key role in most of Africa's stock markets in market downturns while negative shocks play a moderate role during benign market conditions in some of Africa's stock markets during the pandemic. More importantly, our findings divulge that investors can find an invaluable shelter with a portfolio of the selected African stocks and oil market securities in the time of the pandemic. The policy implications are further discussed.
本文重新审视了原油与股票市场的关系，以研究石油隐含波动率指数（一种对油价不确定性更具前瞻性和准确性的衡量指标）在新冠疫情期间如何影响非洲主要石油进口国（南非、肯尼亚、毛里求斯和博茨瓦纳）和石油出口国（尼日利亚、埃及、突尼斯和摩洛哥）的股票回报。采用分位数回归来检验股票回报不同分布下的异质性关系。该研究记录了支持石油隐含波动率冲击与所选股票市场的股票回报之间存在负相关关系的证据，尤其是在市场低迷时期。本研究的结果还表明，石油隐含波动率冲击会对非洲股票产生不对称影响。具体而言，我们的实证证据表明，在疫情期间，石油隐含波动率指数的正向冲击在非洲大多数股票市场的市场低迷时期发挥关键作用，而负向冲击在非洲部分股票市场的良性市场条件下发挥的作用较为适度。更重要的是，我们的研究结果表明，在疫情期间，投资者可以通过所选非洲股票和石油市场证券的投资组合找到一个非常宝贵的避风港。本文进一步讨论了政策含义。
