Abstract
ABSTRACT In this study, we explore the role of media coverage in the connectedness between African stock markets during the COVID-19 pandemic. Using the time-varying parameter autoregression connectedness metric and the Media Coverage Index (MCI), we analyse return and volatility connectedness between African stocks from January 2020 to October 2022. Our findings reveal that the MCI significantly drives risk transmission and financial market contagion from the global market to African markets. We document a peak in return (volatility) connectedness at 73% (55%) during the height of the pandemic in March 2020. The MCI transmits return shocks to all African stock markets except South Africa and Botswana, and volatility spillovers to all African markets. Our analysis suggests potential diversification attributes for stocks from Ghana, Mauritius, and Nigeria, which are strictly net receivers throughout the pandemic period. These findings have important implications for risk management, asset allocation, and market regulation decisions.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
