Showing papers by "Samuel Kwaku Agyei published in 2023"
TL;DR: In this article , the authors investigated the asymmetric interdependence between geopolitical risk and the stock markets of the top-seven emerging (E7) countries (i.e., Mexico, Russia, Turkey, India, China, Indonesia, and Brazil) in the ongoing geopolitical conflict between Russia and Ukraine.
6 citations
TL;DR: In this paper , the impact of the components of the US yield curve on sub-Saharan African equities was studied, and it was shown that the responses of SSA equities to returns and volatility spillovers in a system containing the yield curve's components are nonhomogeneous.
5 citations
TL;DR: In this paper , the authors examined the nonhomogeneous return spillovers and contagion between 12 commodity sectors and African equities under the time-varying parameter vector autoregressions connectedness method.
Abstract: Abstract Market participants, regulators, and practitioners might have disregarded the prospective integration of African markets and the integration of commodity markets with traditional markets. We examine the nonhomogeneous return spillovers and contagion between 12 commodity sectors and African equities under the time-varying parameter vector autoregressions connectedness method. With daily datasets from February 2010 to February 2022, the average connectedness analysis suggests a low spillover transmission between commodities and respective African equity markets. We reveal that the return connectedness between commodities and African equities is largely driven by idiosyncratic spillovers. The results from the dynamic connectedness analysis reveal significant spillovers between the studied markets. Our findings underscore financial market contagion during stressed trading periods, suggesting that global commodity and African equity markets are not entirely immune to global market shocks. Therefore, prompt management of commodity price volatility and the integration between economies could result in controlled impacts of financial market contagion. Portfolio managers should deploy effective risk management strategies that capitalise on the nonhomogeneous roles of some assets as diversifiers, hedges, and safe havens across time horizons. Additional implications of our findings are discussed.
1 citations
TL;DR: In this paper , the short-, medium-, and long-term impacts of COVID-19-related shocks on ten energy commodities (i.e., Brent, crude oil, coal, heating oil, natural gas, gasoline, ethanol, naphtha, propane, and uranium) were analyzed in a time-frequency biwavelet framework.
Abstract: In a time-frequency biwavelet framework, we analysed the short-, medium-, and long-term impacts of COVID-19-related shocks on ten energy commodities (i.e., Brent, crude oil, coal, heating oil, natural gas, gasoline, ethanol, naphtha, propane, and uranium) from January 2020 to April 2022. We document intervals of high and low coherence between COVID-19 cases and the returns on energy commodities across the short-, medium-, and long-term horizons. Low coherence at high frequencies indicated weak correlation and signified diversification, hedging, and safe-haven potentials in the short term of the pandemic. Our findings suggest that energy markets’ dynamics were highly driven by the pandemic, causing significant changes in market returns, particularly across the medium- and low-frequency bands. Furthermore, the empirical results indicate dynamic lead-lag relationships between COVID-19 cases and energy returns between the medium- and long-term horizons, signifying that diversification could be sought through crossinvestment in different energy commodities. The results have significant implications for market participants, regulators, and practitioners.
TL;DR: In this paper , the antecedents of tax aggressive tax behavior among listed non-financial firms in Ghana were examined using the system GMM approach, and they found that the relationship between capital structure and tax aggressive behaviours is mixed.