文章基本信息

标题：Assessing the safe haven properties of oil in African stock markets amid the COVID-19 pandemic: a quantile regression analysis
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作者：Emmanuel Assifuah-Nunoo ; Peterson Owusu Junior ; Anokye Mohammed Adam 等
期刊名称：Quantitative Finance and Economics
电子版ISSN：2573-0134
出版年度：2022
卷号：6
期号：2
页码：244-269
DOI：10.3934/QFE.2022011
语种：Indonesian
出版社：AIMS Press
摘要：Using the quantile regression approach to reveal the conditional relationships, the study re-examined the oil-stock co-movement in the context of oil-exporting countries in Africa. The data employed include daily OPEC basket price for crude oil and daily data on stock market indices for six major stock markets of oil-exporting economies in Africa—Egypt, Ghana, Morocco, Nigeria, South Africa, and Tunisia, from 02 January 2020 to 06 May 2021. We found that crude oil cannot act as safe haven instrument for stock markets in oil-exporting African countries. Notably, the oil-stock co-movement is consistent and more intense at the lower tails only. Investors are encouraged to employ oil as a diversification instrument rather than as a safe haven asset, based on market conditions. Regulators should devise strategies to strengthen the market for crude oil to lessen adverse volatilities during the COVID-19 pandemic by way of mitigating downward returns in African stock markets. The findings of the study offer more interesting economic insights to all classes of investors as well as policymakers in oil-exporting economies in Africa.
关键词：quantile regression;oil;stock nexus;safe haven;African stock markets;diversification;COVID;19