Nkrumah-Boadu Bernice, Tweneboah George, Frimpong Siaw
Department of Finance, School of Business, University of Cape Coast, Cape Coast, Ghana.
Heliyon. 2024 Aug 13;10(16):e35976. doi: 10.1016/j.heliyon.2024.e35976. eCollection 2024 Aug 30.
We investigate the degree of interconnectedness between stock returns and exchange rate returns, and the influence of some selected global uncertainty indices on such a relationship within a time-frequency domain in West Africa through the bi and partial wavelet approaches. The analysis was based on monthly observations from February 2013 to June 2023. The results highlight a negative correlation between stock return and exchange rates. The partial wavelet analysis evidence a significant effect of the global economic policy uncertainty, the implied oil market volatility, and the United States volatility index in driving the co-movements observed in the currency and stock markets. We also find a significant impact of the stock market on the currency market, underscoring the need for robust stock market policies. It is recommended that policymakers prioritize strategies aimed at boosting stock market stability and depth which can positively affect the currency markets. The significant influence of global uncertainties or shocks should not be disregarded in the formulation of policies regarding exchange rates and stock return integration at various investment horizons.
我们通过双向和部分小波方法，在西非的时频域内研究股票回报与汇率回报之间的相互关联程度，以及一些选定的全球不确定性指数对这种关系的影响。该分析基于2013年2月至2023年6月的月度观测数据。结果凸显了股票回报与汇率之间的负相关关系。部分小波分析表明，全球经济政策不确定性、隐含的石油市场波动性和美国波动率指数对货币市场和股票市场中观察到的共同变动有显著影响。我们还发现股票市场对货币市场有重大影响，这凸显了稳健股票市场政策的必要性。建议政策制定者优先考虑旨在提高股票市场稳定性和深度的策略，这可能会对货币市场产生积极影响。在制定不同投资期限下关于汇率和股票回报整合的政策时，不应忽视全球不确定性或冲击的重大影响。
