Title: Whether commodity price volatility spills over onto African stock markets
Authors: Alessandra Amendola - University of Salerno (Italy) [presenting]
Giampiero Gallo - NYU in Florence (Italy)
Vincenzo Candila - University of Salerno (Italy)
Marinella Boccia - University of Salerno (Italy)
Abstract: The aim is to examine the volatility transmission from energy and metal commodities to six major African exporters' stock markets (Egypt for oil and gold, Nigeria for oil and gas, South Africa for coal and gold, Tunisia for oil, Uganda for gold and Zambia for copper). Modelling commodity volatility with the Double Asymmetric GARCH-MIDAS model with a Student's t-distribution allows to detect the presence of impact and inertial stock market volatility spillovers at different lags and to take into account the leptokurtosis of the commodity series. We then derive the profile of Volatility Impulse Responses of the stock markets to commodity shocks.