Owusu Junior Peterson, Tetteh Joseph Emmanuel, Nkrumah-Boadu Bernice, Adjei Abigail N K
Department of Finance, University of Cape Coast, Cape Coast, Ghana.
Department of Banking and Finance, Central University, Tema, Ghana.
Heliyon. 2024 Apr 23;10(9):e29409. doi: 10.1016/j.heliyon.2024.e29409. eCollection 2024 May 15.
Utilising daily data from twelve Sub-Saharan stock markets we investigate the co-movements and information transmission among African stock markets as a result of the impact of COVID while employing multiple wavelet techniques and applying the Complete Ensemble Empirical Mode Decomposition with Adaptive Noise (CEEMDAN) to Renyi's and Shannon's effective transfer entropy analysis. The results infer that some number of co-movements exist among stock markets in Africa and that during periods of uncertainties, diversification through the creation of portfolios in African markets is not conducive since they tend to comove strongly during such periods. The study discovered that, a few of the markets responded to the pandemic in leads lags in the pre-, during and post-COVID era, as well as reacted to information transmission. Our findings generally show that information transmission/spillovers are more predominant in the short term than in the medium- and long-term horizons. The Renyi's effective transfer entropy recorded more negative information flows between African stock market than positive information flows, both during the COVID period and after. On the other hand, Shannon's entropy showed non-negative information flow across various time horizons. We conclude that even though most African stock markets were not prone to the contagion effect of the pandemic, it is of vital importance to re-evaluate the notion that African stock markets are immune to contagion of stock market co-movements, especially in times of global uncertainties.
利用来自撒哈拉以南12个股票市场的每日数据，我们研究了新冠疫情影响下非洲股票市场之间的共同运动和信息传递，同时采用了多种小波技术，并将自适应噪声完全集合经验模态分解（CEEMDAN）应用于雷尼熵和香农有效转移熵分析。结果表明，非洲股票市场之间存在一定数量的共同运动，并且在不确定性时期，通过在非洲市场创建投资组合进行多元化并不有利，因为它们在这些时期往往会强烈地共同运动。该研究发现，一些市场在新冠疫情之前、期间和之后的不同阶段对疫情有领先滞后反应，并且对信息传递也有反应。我们的研究结果总体表明，信息传递/溢出在短期内比在中长期更为显著。在新冠疫情期间及之后，雷尼有效转移熵记录的非洲股票市场之间的负信息流多于正信息流。另一方面，香农熵在不同时间范围内显示出非负的信息流。我们得出结论，尽管大多数非洲股票市场不易受到疫情的传染效应影响，但重新评估非洲股票市场对股票市场共同运动传染具有免疫力这一观念至关重要，尤其是在全球不确定性时期。
