Dynamic linkage amongst oil, gold, exchange rates and stock markets in Africa: evidence from volatility of major African economies

Abstract

The premise of this study is that price fluctuations amongst exchange rates, stock and commodities markets are dynamically linked. The study models monthly price changes amongst these markets in 20 highest World Bank GDP ranked African economies between the years 2000 and 2019 using a copula based DCC GARCH framework. The results show that, there is a time varying co-movement amongst these markets that tend to increase during times of turbulence in sampled markets. Dynamic relations are found to be quantitatively and relatively substantial for economies of Egypt, South Africa, Tanzania, Libya and Zambia. The study also finds a relatively high bivariate association amongst currencies mainly the South African rand, Botswana pula, Moroccan dirham, CFA franc and Tunisian dinar.