PDF(Pubmed)
Abstract：
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.
摘要：
利用来自12个撒哈拉以南股票市场的每日数据，我们研究了由于COVID的影响而导致的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，并将具有自适应噪声的完整集合经验模式分解（CEEMDAN）应用于Renyi和Shannon的有效转移熵分析。结果推断，非洲股票市场之间存在一些共同运动，在不确定的时期，通过在非洲市场创建投资组合来实现多元化是不利的，因为在这样的时期，投资组合往往会强劲增长。研究发现,一些市场对疫情的反应是领先滞后，在COVID时代和后COVID时代，以及对信息传输的反应。我们的发现通常表明，信息传递/溢出在短期比在中长期范围内更占主导地位。Renyi的有效转移熵记录了非洲股票市场之间的负面信息流，而不是正面信息流。在COVID期间和之后。另一方面,香农的熵显示了跨不同时间范围的非负面信息流。我们得出的结论是，尽管大多数非洲股票市场不容易受到大流行的传染效应，重新评估非洲股票市场不受股票市场共同运动传染的观念至关重要，尤其是在全球不确定的时代。
