The Impact of the 2007-09 and Euro-Zone Crises on Natural Resources Sector Beta in African Emerging Markets: The Impact of the 2007-09 and Euro-Zone Crises on Natural Resources Sector Beta in African Emerging Markets

Uchenna Tony-Okeke; Jaliyyah Ahmadu-Bello; Jacek Niklewski; Timothy Rodgers

doi:10.1016/j.ribaf.2017.07.131

The Impact of the 2007-09 and Euro-Zone Crises on Natural Resources Sector Beta in African Emerging Markets: The Impact of the 2007-09 and Euro-Zone Crises on Natural Resources Sector Beta in African Emerging Markets

Uchenna Tony-Okeke, Jaliyyah Ahmadu-Bello, Jacek Niklewski, Timothy Rodgers

Research output: Contribution to journal › Article › peer-review

3 Citations (Scopus)

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Abstract

This paper contributes to the literature by extending the interpretation of financial contagion beyond that of the market correlation approach popularised by Forbes and Rigobon (2002). Contagion is explored from the perspective of its impact on the conditional sector-risk Beta of the African Emerging Market natural resources sector. A multi-factor CAPM model is developed within a DCC-MGARCH framework to estimate time-varying Beta. We find that this reacts in different ways to different contagion events. It rose by a statistically significant 0.058 (an 8% increase) in response to the euro-zone crisis. However, with the exception of South Africa, the 2007–09 crisis was found to have no significant impact on Beta. We speculate that the differences found can be attributed to the different ways in which individual contagion events impact on individual markets. From this we conclude that ‘one size fits all’ correlations-based contagion analysis can often hide as much as it reveals.

Original language	English
Pages (from-to)	54-61
Number of pages	8
Journal	Research in International Business and Finance
Volume	45
Early online date	12 Jul 2017
DOIs	https://doi.org/10.1016/j.ribaf.2017.07.131
Publication status	Published - 1 Oct 2018

Bibliographical note

NOTICE: this is the author’s version of a work that was accepted for publication in Research in International Business and Finance. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Research in International Business and Finance, Vol. 45. pp. 54-61 (2017) DOI: 10.1016/j.ribaf.2017.07.131
© 2017, Elsevier. Licensed under the Creative Commons AttributionNonCommercial-NoDerivatives 4.0 International http://creativecommons.org/licenses/by-nc-nd/4.0/

Keywords

Financial crisis
Contagion
Conditional beta
African emerging markets

Access to Document

10.1016/j.ribaf.2017.07.131

Post-PrintAccepted author manuscript, 903 KBLicence: CC BY-NC-ND

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Tony-Okeke, U., Ahmadu-Bello, J., Niklewski, J., & Rodgers, T. (2018). The Impact of the 2007-09 and Euro-Zone Crises on Natural Resources Sector Beta in African Emerging Markets: The Impact of the 2007-09 and Euro-Zone Crises on Natural Resources Sector Beta in African Emerging Markets. Research in International Business and Finance, 45, 54-61. https://doi.org/10.1016/j.ribaf.2017.07.131

The Impact of the 2007-09 and Euro-Zone Crises on Natural Resources Sector Beta in African Emerging Markets: The Impact of the 2007-09 and Euro-Zone Crises on Natural Resources Sector Beta in African Emerging Markets. / Tony-Okeke, Uchenna ; Ahmadu-Bello, Jaliyyah; Niklewski, Jacek et al.
In: Research in International Business and Finance, Vol. 45, 01.10.2018, p. 54-61.

Research output: Contribution to journal › Article › peer-review

Tony-Okeke, U , Ahmadu-Bello, J, Niklewski, J & Rodgers, T 2018, 'The Impact of the 2007-09 and Euro-Zone Crises on Natural Resources Sector Beta in African Emerging Markets: The Impact of the 2007-09 and Euro-Zone Crises on Natural Resources Sector Beta in African Emerging Markets', Research in International Business and Finance, vol. 45, pp. 54-61. https://doi.org/10.1016/j.ribaf.2017.07.131

Tony-Okeke U , Ahmadu-Bello J, Niklewski J, Rodgers T. The Impact of the 2007-09 and Euro-Zone Crises on Natural Resources Sector Beta in African Emerging Markets: The Impact of the 2007-09 and Euro-Zone Crises on Natural Resources Sector Beta in African Emerging Markets. Research in International Business and Finance. 2018 Oct 1;45:54-61. Epub 2017 Jul 12. doi: 10.1016/j.ribaf.2017.07.131

Tony-Okeke, Uchenna ; Ahmadu-Bello, Jaliyyah ; Niklewski, Jacek et al. / The Impact of the 2007-09 and Euro-Zone Crises on Natural Resources Sector Beta in African Emerging Markets : The Impact of the 2007-09 and Euro-Zone Crises on Natural Resources Sector Beta in African Emerging Markets. In: Research in International Business and Finance. 2018 ; Vol. 45. pp. 54-61.

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abstract = "This paper contributes to the literature by extending the interpretation of financial contagion beyond that of the market correlation approach popularised by Forbes and Rigobon (2002). Contagion is explored from the perspective of its impact on the conditional sector-risk Beta of the African Emerging Market natural resources sector. A multi-factor CAPM model is developed within a DCC-MGARCH framework to estimate time-varying Beta. We find that this reacts in different ways to different contagion events. It rose by a statistically significant 0.058 (an 8% increase) in response to the euro-zone crisis. However, with the exception of South Africa, the 2007–09 crisis was found to have no significant impact on Beta. We speculate that the differences found can be attributed to the different ways in which individual contagion events impact on individual markets. From this we conclude that {\textquoteleft}one size fits all{\textquoteright} correlations-based contagion analysis can often hide as much as it reveals.",

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AB - This paper contributes to the literature by extending the interpretation of financial contagion beyond that of the market correlation approach popularised by Forbes and Rigobon (2002). Contagion is explored from the perspective of its impact on the conditional sector-risk Beta of the African Emerging Market natural resources sector. A multi-factor CAPM model is developed within a DCC-MGARCH framework to estimate time-varying Beta. We find that this reacts in different ways to different contagion events. It rose by a statistically significant 0.058 (an 8% increase) in response to the euro-zone crisis. However, with the exception of South Africa, the 2007–09 crisis was found to have no significant impact on Beta. We speculate that the differences found can be attributed to the different ways in which individual contagion events impact on individual markets. From this we conclude that ‘one size fits all’ correlations-based contagion analysis can often hide as much as it reveals.

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