Economic Policy Uncertainty and Stock Returns of Africa: A Wavelet Coherence Analysis
This study explores how global economic policy uncertainty (EPU) shocks comove with stock returns (SR) of eight African countries—Botswana, Ghana, Kenya, Morocco, Namibia, Nigeria, South Africa, and Zambia. The study employed daily data from December 2010 to December 2019 using wavelet coherence ana...
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| Main Authors: | , , , , , |
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| Format: | Article |
| Language: | English |
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Wiley
2020-01-01
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| Series: | Discrete Dynamics in Nature and Society |
| Online Access: | http://dx.doi.org/10.1155/2020/8846507 |
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| author | Emmanuel Asafo-Adjei Daniel Agyapong Samuel Kwaku Agyei Siaw Frimpong Reginald Djimatey Anokye M. Adam |
| author_facet | Emmanuel Asafo-Adjei Daniel Agyapong Samuel Kwaku Agyei Siaw Frimpong Reginald Djimatey Anokye M. Adam |
| author_sort | Emmanuel Asafo-Adjei |
| collection | DOAJ |
| description | This study explores how global economic policy uncertainty (EPU) shocks comove with stock returns (SR) of eight African countries—Botswana, Ghana, Kenya, Morocco, Namibia, Nigeria, South Africa, and Zambia. The study employed daily data from December 2010 to December 2019 using wavelet coherence analysis. The results showed that global EPU comoves with most of the SR of African markets and was concentrated in the longer term, especially during the period between 2011 and 2019, although not substantially. The findings indicate that short-term investments in African stocks are less susceptible to global economic policy uncertainty. It is recommended that foreign investors could hedge agaist policy uncertainties by investing in stock listed in African Stock exchanges while appropriate country-level policies are deployed to manage long-term effect of EPU. |
| format | Article |
| id | doaj-art-149f2f069e3641bfa40e782c3e8fbc15 |
| institution | Kabale University |
| issn | 1026-0226 1607-887X |
| language | English |
| publishDate | 2020-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Discrete Dynamics in Nature and Society |
| spelling | doaj-art-149f2f069e3641bfa40e782c3e8fbc152025-02-03T01:28:24ZengWileyDiscrete Dynamics in Nature and Society1026-02261607-887X2020-01-01202010.1155/2020/88465078846507Economic Policy Uncertainty and Stock Returns of Africa: A Wavelet Coherence AnalysisEmmanuel Asafo-Adjei0Daniel Agyapong1Samuel Kwaku Agyei2Siaw Frimpong3Reginald Djimatey4Anokye M. Adam5Department of Finance, School of Business, University of Cape Coast, Cape Coast, GhanaDepartment of Finance, School of Business, University of Cape Coast, Cape Coast, GhanaDepartment of Finance, School of Business, University of Cape Coast, Cape Coast, GhanaDepartment of Finance, School of Business, University of Cape Coast, Cape Coast, GhanaDepartment of Entrepreneurship and Business Sciences, School of Management Sciences and Law, University of Energy and Natural Resources, Sunyani, GhanaDepartment of Finance, School of Business, University of Cape Coast, Cape Coast, GhanaThis study explores how global economic policy uncertainty (EPU) shocks comove with stock returns (SR) of eight African countries—Botswana, Ghana, Kenya, Morocco, Namibia, Nigeria, South Africa, and Zambia. The study employed daily data from December 2010 to December 2019 using wavelet coherence analysis. The results showed that global EPU comoves with most of the SR of African markets and was concentrated in the longer term, especially during the period between 2011 and 2019, although not substantially. The findings indicate that short-term investments in African stocks are less susceptible to global economic policy uncertainty. It is recommended that foreign investors could hedge agaist policy uncertainties by investing in stock listed in African Stock exchanges while appropriate country-level policies are deployed to manage long-term effect of EPU.http://dx.doi.org/10.1155/2020/8846507 |
| spellingShingle | Emmanuel Asafo-Adjei Daniel Agyapong Samuel Kwaku Agyei Siaw Frimpong Reginald Djimatey Anokye M. Adam Economic Policy Uncertainty and Stock Returns of Africa: A Wavelet Coherence Analysis Discrete Dynamics in Nature and Society |
| title | Economic Policy Uncertainty and Stock Returns of Africa: A Wavelet Coherence Analysis |
| title_full | Economic Policy Uncertainty and Stock Returns of Africa: A Wavelet Coherence Analysis |
| title_fullStr | Economic Policy Uncertainty and Stock Returns of Africa: A Wavelet Coherence Analysis |
| title_full_unstemmed | Economic Policy Uncertainty and Stock Returns of Africa: A Wavelet Coherence Analysis |
| title_short | Economic Policy Uncertainty and Stock Returns of Africa: A Wavelet Coherence Analysis |
| title_sort | economic policy uncertainty and stock returns of africa a wavelet coherence analysis |
| url | http://dx.doi.org/10.1155/2020/8846507 |
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