OIL PRICE SHOCKS AND STOCK MARKET VOLATILITIES: EVIDENCE FROM SELECTED SUB-SAHARAN AFRICAN COUNTRIES

Abstract

The paper examined the relationship between oil price shocks and stock market volatilities in Nigeria, Egypt, South Africa, Kenya, Ivory Coast, and Ghana using a structural Vector Autoregressive model. The data used for the study spanned from January 2000 to December 2019. Findings from the study showed homogeneity in the response of stock market volatility to oil shocks for both oil importing and oil exporting countries, with slight variances in the timing of pass-through and speed of adjustment. Supply shocks had no significant impact on stock market volatility in all countries considered. In making stock market-related decisions, investors and even policy makers should consider the source and pass-through mechanism of oil price shock in their specific countries.