RESUMEN
[This corrects the article DOI: 10.1016/j.heliyon.2024.e29409.].
RESUMEN
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.
RESUMEN
This paper presents the first comparative study of emerging stock markets' response to the COVID-19 pandemic with evidence from Ghana and Botswana. Using daily time-series data from March 1, 2020, to September 30, 2021, the study estimates parametric, semi-parametric and non-parametric models, and provides evidence to support the negative effects of the COVID-19 pandemic (i.e., the total number of reported COVID-19 cases and deaths) on the stock market performances of Ghana and Botswana. Interestingly, the study shows that the impact of the pandemic on Ghana's stock market is quantitatively greater than the stock market of Botswana. The study calls for fiscal and monetary policies to help firms on the stock market to survive the shock. Going forward, measures aimed at building a robust stock market to withstand such external shocks are critical.