Global Commodity Prices and Stock Market Nexus: Sub-Sahara African Perspectives
Date
2019-06-12
Authors
Oyelami, Lukman O
Journal Title
Journal ISSN
Volume Title
Publisher
Acta Universitatis Danubius. Œconomica
Abstract
Many SSA countries are exports dependent and rely heavily on the global price of their primary
commodities to make rational economic decisions. It is against this background this study investigates
the level of interdependence between global commodities prices and stock market returns in selected
SSA countries. For the purpose of this empirical investigation, two largest stock markets were selected
based on market capitalization namely Johannesburg Stock Exchange (JSE) and Nigerian Stock
Exchange (NSE). Specifically; we examined the relationship between global commodities prices and
Stock market returns and the direction of causality between the variables following Eagle Granger
causality procedures. In addition, we determined the effect of global commodities’ prices movement
on stock market returns using ARDL estimation technique. The results of our analyses show that there
is a significant long-run relationship between global commodities prices and stock market returns. Also,
there exists a bi-directional causal relationship between global commodities prices and Stock market
returns in the two markets. Furthermore, the results of ARDL estimation reveal that global commodities
prices have short-run and long-run effects on stock market returns in the two markets.
Description
Keywords
Market , Capitalization , Causality , ARDL
Citation
Oyelami, L. O., & Yinusa, O. D. (2019). Global Commodity Prices and Stock Market Nexus: Sub-Sahara African Perspectives. Acta Universitatis Danubius. Œconomica, 15(4).