Dynamic connectedness between global commodity sectors, news sentiment, and sub-Saharan African equities

Abstract

We examine the static and time-varying spillovers between global commodity sectors, economic news sentiment, and sub-Saharan African (SSA) equities. In a time-varying parameter vector autoregressions spillover connectedness approach, we find that: (i) there are significant spillovers between SSA equities, economic news sentiment, and global commodity sectors; (ii) the connectedness evolves across different times and is amplified by market crises; (iii) there are suitable market-specific SSA equities that bear safe-haven and hedge attributes for global commodity investors; (iv) agriculture is the main source of return and volatility spillovers; and (v) economic news sentiment index is a net transmitter of spillover during systemic crisis periods such as GFC and the COVID-19 pandemic. Our findings have notable implications for international investors, regulators, and practitioners.