ABSTRACT
Purpose: This paper aims to analyze the volatility transmission between an energy stock index and a financial stock index in emerging markets during recent high instability periods. The study considers the impact of both the period under analysis and the data frequency on the direction and intensity of the contagion, as well as the effect of the potential spillovers on the risk measures. These questions still lack definitive answers and have become more relevant in a context of financially unsettling events such as COVID-19 crises. Design/methodology/approach: This study employs an extension of the dynamic conditional correlation (DCC) model that allows for the time-varying dependence relationship between the variables. This dependence is analyzed at daily, weekly and monthly basis using data from the Bloomberg platform on energy and stock market indices for emerging markets between 2001 and 2021. Findings: The results for a sample spanning from 2001 to mid-2021 show bidirectional volatility transmission on a daily basis, whereas only evidence of volatility transmission from the financial to the energy exists for weekly and monthly frequencies. However, considering different subsamples of daily data, the authors only find volatility transmission from financial (energy) index to the energy (financial) during the Great Recession (COVID-19) as a consequence of the different source of the shock and transmission channels. Originality/value: This study reveals that volatility transmission between energy and stocks in emerging markets has changed and presents a unidirectional pattern from energy to financial markets during the COVID-19 period in contrast to calm and the sub-prime crisis intervals. These results differ from previous studies, focused on global markets, that show bidirectional spillovers during this period. © 2023, Emerald Publishing Limited.
ABSTRACT
This paper contends that, given the constraints on national responses to the multiple challenges the pandemic poses in sub-Saharan Africa, multilateral organisations, governments from outside the region and private creditors can and must play a key part in helping African governments and the private sector cope. The paper primarily focuses on the provision of finance, but clearly support in other areas, including health, trade and business, matters too. The paper first examines the scale and nature of the crisis, then looks at some of the principles and constraints shaping the design of policy responses to shield health systems, individuals and economies from the immediate impacts (chapter 2). The paper then explores the role that international cooperation and finance can play in enabling more effective national responses (chapter 3), before concluding with a summary of key recommendations (chapter 4).