Exploring the dynamic connectedness between commodities and African equities

Figures & data

Table 1. Total connectedness index of stocks and cocoa

	Ghana	Ivory Coast	Cocoa	FROM others
Ghana	98.07	0.57	1.37	1.93
Ivory Coast	0.77	98.57	0.67	1.43
Cocoa	1.26	0.61	98.13	1.87
TO others	2.02	1.17	2.03	5.23
Inc. own	100.09	99.74	100.17	TCI
NET	0.09	−0.26	0.17	1.74
NPDC	1.00	2.00	0.00

Notes: This table presents the spillover matrix between cocoa and the stocks of major producers/exporters in Africa. The sample period is from February 2010 to February 2022. “FROM others” (last column) represents the system’s return spillovers contributed by all other variables to a stated variable. “TO others” (third to the last row) displays return spillovers from a named variable to the system of all other variables. “NET” (penultimate row) shows the net directional return spillovers of each variable. TCI (bold, right bottom corner) is the total connectedness index of the system of all variables. The last row displays the net pairwise directional spillovers, which are reported to only give supplementary insights on the pairwise position of each variable.

Table 2. Total connectedness index of stocks and coffee

	I.Coast	Kenya	Tanzania	Uganda	Coffee	FROM others
I.Coast	95.63	1.29	1.52	1.01	0.55	4.37
Kenya	1.21	90.31	4.37	3.64	0.48	9.69
Tanzania	1.18	11.87	70.93	13.4	2.62	29.07
Uganda	0.63	22.66	14.07	61.3	1.35	38.7
Coffee	0.53	0.85	1.8	2.13	94.69	5.31
TO others	3.54	36.67	21.75	20.18	4.99	87.14
Inc. own	99.18	126.98	92.68	81.48	99.68	TCI
NET	−0.82	26.98	−7.32	−18.52	−0.32	17.43
NPDC	4	0	2	2	2

Notes: This table presents the spillover matrix between coffee and the stocks of major producers/exporters in Africa. The sample period is from February 2010 to February 2022. “FROM others” (last column) represents the system’s return spillovers contributed by all other variables to a stated variable. “TO others” (third to the last row) displays return spillovers from a named variable to the system of all other variables. “NET” (penultimate row) shows the net directional return spillovers of each variable. TCI (bold, right bottom corner) is the total connectedness index of the system of all variables. The last row displays the net pairwise directional spillovers, which are reported to only give supplementary insights on the pairwise position of each variable. I.Coast is Ivory Coast.

Table 3. Total connectedness index of stocks and copper

	Namibia	South Africa	Zambia	Copper	FROM others
Namibia	69.78	25.14	0.24	4.84	30.22
South Africa	25.31	63.74	0.59	10.35	36.26
Zambia	0.79	1.37	97.07	0.77	2.93
Copper	6.46	11.55	0.75	81.25	18.75
TO others	32.56	38.05	1.58	15.97	88.16
Inc. own	102.34	101.79	98.66	97.22	TCI
NET	2.34	1.79	−1.34	−2.78	22.04
NPDC	0	1	3	2

Notes: This table presents the spillover matrix between copper and the stocks of major producers/exporters in Africa. The sample period is from February 2010 to February 2022. “FROM others” (last column) represents the system’s return spillovers contributed by all other variables to a stated variable. “TO others” (third to the last row) displays return spillovers from a named variable to the system of all other variables. “NET” (penultimate row) shows the net directional return spillovers of each variable. TCI (bold, right bottom corner) is the total connectedness index of the system of all variables. The last row displays the net pairwise directional spillovers, which are reported to only give supplementary insights on the pairwise position of each variable.

Table 4. Total connectedness index of stocks and corn

	Egypt	Kenya	Malawi	Nigeria	S.Africa	Uganda	Corn	FROM others
Egypt	74.76	4.01	0.19	0.97	17.49	0.69	1.9	25.24
Kenya	3.96	75.59	0.24	2.71	5.76	10.33	1.42	24.41
Malawi	0.25	1.08	96.89	0.29	0.65	0.36	0.48	3.11
Nigeria	0.67	3.31	0.28	88.32	4.05	2.87	0.5	11.68
S.Africa	15.96	5.07	0.54	2.6	70.82	1.32	3.68	29.18
Uganda	1.52	23.9	0.42	4.35	3.05	66.07	0.69	33.93
Corn	2.46	1.55	0.47	0.82	4.32	0.55	89.82	10.18
TO others	24.82	38.92	2.15	11.74	35.32	16.12	8.67	137.73
Inc. own	99.57	114.5	99.03	100.07	106.14	82.2	98.49	TCI
NET	−0.43	14.5	−0.97	0.07	6.14	−17.8	−1.51	19.68
NPDC	3	1	5	2	0	6	4

Notes: This table presents the spillover matrix between corn and the stocks of major producers/exporters in Africa. The sample period is from February 2010 to February 2022. “FROM others” (last column) represents the system’s return spillovers contributed by all other variables to a stated variable. “TO others” (third to the last row) displays return spillovers from a named variable to the system of all other variables. “NET” (penultimate row) shows the net directional return spillovers of each variable. TCI (bold, right bottom corner) is the total connectedness index of the system of all variables. The last row displays the net pairwise directional spillovers, which are reported to only give supplementary insights on the pairwise position of each variable. S.Africa is South Africa.

Table 5. Total connectedness index of stocks and crude oil

	Egypt	Morocco	Nigeria	Tunisia	C.Oil	FROM others
Egypt	72.68	15.83	1.08	3.9	6.5	27.32
Morocco	15.21	70.21	0.4	9.76	4.42	29.79
Nigeria	0.71	0.96	97.49	0.22	0.61	2.51
Tunisia	5.07	14.62	0.21	79.78	0.31	20.22
C.Oil	7.77	5.17	0.09	0.49	86.48	13.52
TO others	28.76	36.59	1.8	14.37	11.85	93.36
Inc. own	101.43	106.79	99.29	94.15	98.33	TCI
NET	1.43	6.79	−0.71	−5.85	−1.67	18.67
NPDC	2	0	3	2	3

Notes: This table presents the spillover matrix between crude oil and the stocks of major producers/exporters in Africa. The sample period is from February 2010 to February 2022. “FROM others” (last column) represents the system’s return spillovers contributed by all other variables to a stated variable. “TO others” (third to the last row) displays return spillovers from a named variable to the system of all other variables. “NET” (penultimate row) shows the net directional return spillovers of each variable. TCI (bold, right bottom corner) is the total connectedness index of the system of all variables. The last row displays the net pairwise directional spillovers, which are reported to only give supplementary insights on the pairwise position of each variable. C.Oil is Crude Oil.

Table 6. Total connectedness index of stocks and gold

	Ghana	I.Coast	S.Africa	Tanzania	Gold	FROM others
Ghana	97.11	0.75	0.89	0.43	0.81	2.89
I.Coast	1.31	93.2	1.4	1.45	2.65	6.8
S.Africa	0.93	1.25	89.77	1.65	6.39	10.23
Tanzania	0.67	1.23	7.43	89.32	1.36	10.68
Gold	0.56	1.75	4.49	0.95	92.26	7.74
TO others	3.46	4.98	14.2	4.48	11.21	38.35
Inc. own	100.57	98.18	103.98	93.8	103.47	TCI
NET	0.57	−1.82	3.98	−6.2	3.47	7.67
NPDC	1	4	2	3	0

Notes: This table presents the spillover matrix between gold and the stocks of major producers/exporters in Africa. The sample period is from February 2010 to February 2022. “FROM others” (last column) represents the system’s return spillovers contributed by all other variables to a stated variable. “TO others” (third to the last row) displays return spillovers from a named variable to the system of all other variables. “NET” (penultimate row) shows the net directional return spillovers of each variable. TCI (bold, right bottom corner) is the total connectedness index of the system of all variables. The last row displays the net pairwise directional spillovers, which are reported to only give supplementary insights on the pairwise position of each variable. I.Coast is Ivory Coast; S.Africa is South Africa.

Table 7. Total connectedness index of stocks and natural gas

	Egypt	Nigeria	Tanzania	Natural Gas	FROM others
Egypt	97.31	1.03	0.48	1.17	2.69
Nigeria	0.49	96.14	2.61	0.75	3.86
Tanzania	3.2	5.85	90.19	0.76	9.81
Natural Gas	0.53	0.91	1.2	97.37	2.63
TO others	4.22	7.79	4.29	2.69	18.98
Inc. own	101.54	103.93	94.48	100.06	TCI
NET	1.54	3.93	−5.52	0.06	4.75
NPDC	2	0	2	2

Notes: This table presents the spillover matrix between natural gas and the stocks of major producers/exporters in Africa. The sample period is from February 2010 to February 2022. “FROM others” (last column) represents the system’s return spillovers contributed by all other variables to a stated variable. “TO others” (third to the last row) displays return spillovers from a named variable to the system of all other variables. “NET” (penultimate row) shows the net directional return spillovers of each variable. TCI (bold, right bottom corner) is the total connectedness index of the system of all variables. The last row displays the net pairwise directional spillovers, which are reported to only give supplementary insights on the pairwise position of each variable.

Table 8. Total connectedness index of stocks and palladium

	South Africa	Zimbabwe	Palladium	FROM others
South Africa	81.22	0.77	18	18.78
Zimbabwe	0.65	99.02	0.32	0.98
Palladium	17.66	0.16	82.18	17.82
TO others	18.31	0.94	18.33	37.57
Inc. own	99.53	99.96	100.51	TCI
NET	−0.47	−0.04	0.51	12.52
NPDC	2	1	0

Notes: This table presents the spillover matrix between palladium and the stocks of major producers/exporters in Africa. The sample period is from February 2010 to February 2022. “FROM others” (last column) represents the system’s return spillovers contributed by all other variables to a stated variable. “TO others” (third to the last row) displays return spillovers from a named variable to the system of all other variables. “NET” (penultimate row) shows the net directional return spillovers of each variable. TCI (bold, right bottom corner) is the total connectedness index of the system of all variables. The last row displays the net pairwise directional spillovers, which are reported to only give supplementary insights on the pairwise position of each variable.

Table 9. Total connectedness index of stocks and palm oil

	Ghana	I.Coast	Kenya	S.Africa	P.Oil	FROM others
Ghana	94.28	0.48	3.53	0.54	1.18	5.72
I.Coast	0.95	95.65	1.07	1.99	0.34	4.35
Kenya	3.04	1.77	88.49	5.32	1.39	11.51
S.Africa	0.59	1.62	4.33	86.94	6.53	13.06
P.Oil	0.97	0.38	1.35	6.91	90.39	9.61
TO others	5.56	4.24	10.28	14.76	9.43	44.26
Inc. own	99.83	99.89	98.76	101.69	99.82	TCI
NET	−0.17	−0.11	−1.24	1.69	−0.18	8.85
NPDC	2	2	3	1	2

Notes: This table presents the spillover matrix between palm oil and the stocks of major producers/exporters in Africa. The sample period is from February 2010 to February 2022. “FROM others” (last column) represents the system’s return spillovers contributed by all other variables to a stated variable. “TO others” (third to the last row) displays return spillovers from a named variable to the system of all other variables. “NET” (penultimate row) shows the net directional return spillovers of each variable. TCI (bold, right bottom corner) is the total connectedness index of the system of all variables. The last row displays the net pairwise directional spillovers, which are reported to only give supplementary insights on the pairwise position of each variable. I.Coast is Ivory Coast; S.Africa is South Africa; P.Oil is Palm Oil.

Table 10. Total connectedness index of stocks and rice

	Egypt	Nigeria	Tanzania	Rice	FROM others
Egypt	68.26	0.88	9.33	21.53	31.74
Nigeria	1.35	95.06	2.82	0.78	4.94
Tanzania	13.59	4.66	73.32	8.43	26.68
Rice	18.54	0.41	6.87	74.18	25.82
TO others	33.47	5.95	19.02	30.74	89.18
Inc. own	101.73	101.01	92.34	104.92	TCI
NET	1.73	1.01	−7.66	4.92	22.29
NPDC	1	2	3	0

Notes: This table presents the spillover matrix between rice and the stocks of major producers/exporters in Africa. The sample period is from February 2010 to February 2022. “FROM others” (last column) represents the system’s return spillovers contributed by all other variables to a stated variable. “TO others” (third to the last row) displays return spillovers from a named variable to the system of all other variables. “NET” (penultimate row) shows the net directional return spillovers of each variable. TCI (bold, right bottom corner) is the total connectedness index of the system of all variables. The last row displays the net pairwise directional spillovers, which are reported to only give supplementary insights on the pairwise position of each variable.

Table 11. Total connectedness index of stocks and silver

	Namibia	Zambia	Silver	FROM others
Namibia	94.44	0.17	5.39	5.56
Zambia	0.63	98.9	0.47	1.1
Silver	5.27	0.4	94.32	5.68
TO others	5.9	0.58	5.86	12.33
Inc. own	100.34	99.48	100.18	TCI
NET	0.34	−0.52	0.18	4.11
NPDC	1	2	0

Notes: This table presents the spillover matrix between silver and the stocks of major producers/exporters in Africa. The sample period is from February 2010 to February 2022. “FROM others” (last column) represents the system’s return spillovers contributed by all other variables to a stated variable. “TO others” (third to the last row) displays return spillovers from a named variable to the system of all other variables. “NET” (penultimate row) shows the net directional return spillovers of each variable. TCI (bold, right bottom corner) is the total connectedness index of the system of all variables. The last row displays the net pairwise directional spillovers, which are reported to only give supplementary insights on the pairwise position of each variable.

Table 12. Total connectedness index of stocks and soybeans

	Ghana	Malawi	Nigeria	Uganda	Zambia	Soybeans	FROM others
Ghana	94.06	0.7	0.66	1.28	2.18	1.12	5.94
Malawi	0.74	97.24	0.22	0.49	0.76	0.55	2.76
Nigeria	0.95	0.26	96.38	1.16	0.6	0.66	3.62
Uganda	0.86	0.54	5	91.2	1.13	1.27	8.8
Zambia	2.35	0.75	3.2	1.19	91.43	1.08	8.57
Soybeans	0.73	0.43	0.76	2.95	0.98	94.16	5.84
TO others	5.63	2.67	9.84	7.07	5.66	4.67	35.54
Inc. own	99.69	99.92	106.21	98.26	97.09	98.83	TCI
NET	−0.31	−0.08	6.21	−1.74	−2.91	−1.17	5.92
NPDC	2	3	2	2	4	2

Notes: This table presents the spillover matrix between soybeans and the stocks of major producers/exporters in Africa. The sample period is from February 2010 to February 2022. “FROM others” (last column) represents the system’s return spillovers contributed by all other variables to a stated variable. “TO others” (third to the last row) displays return spillovers from a named variable to the system of all other variables. “NET” (penultimate row) shows the net directional return spillovers of each variable. TCI (bold, right bottom corner) is the total connectedness index of the system of all variables. The last row displays the net pairwise directional spillovers, which are reported to only give supplementary insights on the pairwise position of each variable.

Figure 1. Network plots of commodity and African stock markets’ returns.

Notes: This figure displays the averaged time-varying connectedness between a named commodity and the stocks of major producers/exporters in Africa. Blue (brown) nodes signify the net transmitter (receiver) of spillovers or shocks. Vertices are weighted by averaged net pairwise directional connectedness measures. The size of nodes represents weighted average net total directional connectedness.

Figure 2. Time-varying connectedness between global commodity and African stock returns.

Notes: This figure displays the total time-varying connectedness between a named commodity and the stocks of major producers/exporters in Africa. The time periodicities in each sample are plotted against the horizontal axis with the accompanying spillover indices against the vertical axis.

Figure 3. Directional spillovers between commodities and African stocks.

Notes: This figure contains plots that provide details on variables’ interaction within the given system

Figure 4. Net Directional Spillovers between commodities and African stocks.

Notes: This figure contains plots that provide details of the NET position of variables in each system.

Table 13. Summary of significant portfolio benefits based on commodity sectors

Precious metals	Grains	Softs	Energies	Unclassified
Copper Returns from copper and Zambian equities are safe-havens and hedges for Namibian and South African equity returns.	Corn Ugandan equity returns are a hedge and safe-haven for equity returns from Kenya.	Coffee Ugandan equity returns are both a hedge and safe-haven for their Kenyan counterparts.	Crude oil Moroccan equity returns are a hedge for returns from Tunisian equities and crude oil in normal trading periods and other crises periods other than the COVID-19 era. Tunisian equity and crude oil returns are safe-havens for Moroccan equity returns.	Palm oil Nil

Table A1. Descriptive statistics

Cocoa sample (commodity vs. stocks of major African exporters/producers)
	Minimum	Maximum	Mean	SD	Skewness	Kurtosis	JB	ADF	PP
Ghana	−18.44%	17.50%	−0.03%	1.01%	6.52%	10,485.00%	0.67*	−17.5*	−48.8*
Ivory Coast	−8.23%	10.36%	−0.02%	1.21%	16.71%	649.77%	0.94*	−46.9*	−47.0*
Cocoa	−8.90%	11.49%	0.01%	1.80%	−4.75%	172.59%	0.99*	−45.0*	−45.0*
Coffee sample (commodity vs. stocks of major African exporters/producers)
	Minimum	Maximum	Mean	SD	Skewness	Kurtosis	JB	ADF	PP
Ivory Coast	−7.23%	10.91%	−0.03%	1.24%	51.90%	847.86%	0.92*	−43.7*	−43.7*
Kenya	−33.84%	32.05%	0.01%	1.73%	−173.59%	18,448.39%	0.48*	−49.7*	−49.8*
Tanzania	−38.07%	39.11%	−0.01%	1.90%	24.42%	21,897.06%	0.44*	−37.5*	−58.1*
Uganda	−19.95%	10.55%	−0.02%	1.26%	−215.30%	4416.31%	0.81*	−38.2*	−38.7*
Coffee	−15.05%	21.80%	0.03%	2.39%	56.53%	614.37%	0.95*	−43.1*	−43.1*
Copper sample (commodity vs. stocks of major African exporters/producers)
	Minimum	Maximum	Mean	SD	Skewness	Kurtosis	JB	ADF	PP
Namibia	−148.41%	152.34%	0.00%	4.76%	91.16%	78,760.78%	0.28*	−39.0*	−93.4*
South Africa	−12.14%	8.91%	0.01%	1.79%	−54.05%	363.86%	0.96*	−49.6*	−49.9*
Zambia	−8.51%	12.34%	−0.02%	1.22%	30.57%	1210.04%	0.86*	−41.8*	−41.7*
Copper	−11.09%	9.88%	0.01%	1.55%	−14.75%	388.51%	0.96*	−51.7*	−51.7*
Corn sample (commodity vs. stocks of major African exporters/producers)
	Minimum	Maximum	Mean	SD	Skewness	Kurtosis	JB	ADF	PP
Egypt	−40.48%	26.59%	−0.02%	2.45%	−371.38%	8104.39%	0.67*	−34.8*	−34.7*
Kenya	−33.84%	32.05%	0.02%	1.85%	−163.10%	14,832.92%	0.56*	−43.2*	−43.0*
Malawi	−39.44%	30.33%	0.03%	1.92%	−898.72%	27,849.07%	0.29*	−19.8*	−39.7*
Nigeria	−32.13%	10.37%	−0.02%	1.87%	−532.34%	8169.10%	0.66*	−35.7*	−36.4*
South Africa	−22.40%	8.76%	0.01%	2.25%	−195.75%	1633.99%	0.88*	−40.4*	−40.5*
Uganda	−20.22%	10.55%	0.00%	1.58%	−159.03%	2351.41%	0.84*	−37.4*	−37.8*
Corn	−29.09%	8.58%	−0.01%	2.41%	−296.05%	2920.03%	0.80*	−36.4*	−36.4*
Crude oil sample (commodity vs. stocks of major African exporters/producers)
	Minimum	Maximum	Mean	SD	Skewness	Kurtosis	JB	ADF	PP
Egypt	−40.48%	11.70%	−0.02%	2.16%	−587.59%	10,069.12%	0.71*	−39.7*	−39.5*
Morocco	−17.32%	5.56%	0.00%	1.02%	−240.88%	4428.60%	0.85*	−40.9*	−40.9*
Nigeria	−34.26%	8.12%	−0.02%	1.63%	−585.21%	11,064.48%	0.69*	−40.1*	−40.7*
Tunisia	−9.51%	10.86%	−0.02%	0.96%	−18.91%	1687.04%	0.89*	−48.0*	−48.0*
Crude Oil	−68.56%	31.96%	0.01%	3.58%	−384.84%	8465.67%	0.71*	−24.5*	−49.7*
Gold sample (commodity vs. stocks of major African exporters/producers)
	Minimum	Maximum	Mean	SD	Skewness	Kurtosis	JB	ADF	PP
Ghana	−18.44%	17.50%	−0.03%	1.03%	−93.13%	11,143.90%	0.64*	−17.5*	−48.4*
Ivory Coast	−6.63%	11.48%	−0.03%	1.26%	101.64%	1067.49%	0.90*	−43.9*	−44.0*
South Africa	−14.92%	8.40%	0.01%	1.82%	−99.88%	768.10%	0.93*	−43.5*	−43.5*
Tanzania	−38.07%	39.30%	−0.01%	1.86%	45.98%	22,608.98%	0.44*	−38.6*	−60.0*
Gold	−8.88%	5.25%	0.01%	1.01%	−111.50%	971.80%	0.91*	−40.8*	−40.8*
Natural gas sample (commodity vs. stocks of major African exporters/producers)
	Minimum	Maximum	Mean	SD	Skewness	Kurtosis	JB	ADF	PP
Egypt	−40.48%	25.48%	−0.03%	2.22%	−300.51%	7408.60%	0.73*	−38.0*	−38.0*
Nigeria	−34.26%	8.93%	−0.02%	1.71%	−581.08%	10,316.27%	0.67*	−38.7*	−39.4*
Tanzania	−19.07%	17.78%	0.00%	1.37%	71.86%	5642.02%	0.65*	−53.2*	−52.3*
Natural Gas	−28.66%	26.37%	0.00%	3.86%	35.14%	768.45%	0.91*	−46.9*	−47.3*
Palladium sample (commodity vs. stocks of major African exporters/producers)
	Minimum	Maximum	Mean	SD	Skewness	Kurtosis	JB	ADF	PP
South Africa	−12.64%	8.40%	0.01%	1.87%	−84.66%	549.78%	0.94*	−31.8*	−31.8*
Zimbabwe	−92.30%	16.56%	0.01%	4.99%	−1165.07%	20,038.93%	0.38*	−14.0*	−28.0*
Palladium	−22.98%	18.14%	0.08%	2.34%	−72.66%	1598.59%	0.87*	−27.5*	−27.3*
Palm oil sample (commodity vs. stocks of major African exporters/producers)
	Minimum	Maximum	Mean	SD	Skewness	Kurtosis	JB	ADF	PP
Ghana	−18.99%	17.50%	−0.03%	1.02%	−29.71%	10,880.40%	0.67*	−15.0*	−49.8*
Ivory Coast	−6.63%	11.14%	−0.02%	1.22%	68.82%	870.48%	0.92*	−47.3*	−47.4*
Kenya	−33.84%	32.05%	0.00%	1.53%	−91.27%	23,496.09%	0.51*	−55.1*	−55.7*
South Africa	−14.00%	8.40%	0.01%	1.78%	−68.33%	524.16%	0.95*	−46.3*	−46.3*
Palm Oil	−12.19%	13.04%	0.03%	1.79%	−13.53%	550.25%	0.95*	−47.3*	−47.3*
Rice sample (commodity vs. stocks of major African exporters/producers)
	Minimum	Maximum	Mean	SD	Skewness	Kurtosis	JB	ADF	PP
Egypt	−40.48%	25.48%	−0.03%	2.24%	−291.81%	7223.04%	0.73*	−38.1*	−38.0*
Nigeria	−34.26%	8.93%	−0.02%	1.73%	−562.59%	9990.10%	0.67*	−38.2*	−38.8*
Tanzania	−19.07%	17.78%	0.00%	1.39%	85.22%	5604.70%	0.64*	−52.7*	−51.8*
Rice	−467.66%	480.92%	0.01%	15.75%	123.61%	88,738.42%	0.06*	−22.4*	−309.3*
Silver sample (commodity vs. stocks of major African exporters/producers)
	Minimum	Maximum	Mean	SD	Skewness	Kurtosis	JB	ADF	PP
Namibia	−148.41%	152.34%	0.00%	4.58%	94.91%	85,247.08%	0.28*	−40.6*	−97.6*
Zambia	−10.55%	12.34%	−0.02%	1.19%	33.09%	1413.08%	0.85*	−44.9*	−45.0*
Silver	−19.79%	14.72%	0.01%	1.95%	−87.53%	1080.45%	0.90*	−38.5*	−50.5*
Soybeans sample (commodity vs. stocks of major African exporters/producers)
	Minimum	Maximum	Mean	SD	Skewness	Kurtosis	JB	ADF	PP
Ghana	−18.44%	17.50%	−0.03%	1.04%	−102.41%	10,461.18%	0.65*	−18.7*	−51.1*
Malawi	−39.46%	29.92%	0.03%	1.64%	−1098.23%	39,385.50%	0.25*	−45.0*	−45.8*
Nigeria	−34.26%	9.47%	−0.02%	1.58%	−748.10%	14,389.48%	0.62*	−40.1*	−40.9*
Uganda	−19.95%	10.55%	0.00%	1.38%	−157.91%	2943.39%	0.83*	−45.0*	−45.4*
Zambia	−39.08%	15.05%	−0.04%	1.49%	−838.49%	23,968.36%	0.61*	−41.8*	−41.8*
Soybeans	−16.68%	7.26%	0.01%	1.49%	−149.90%	1369.53%	0.90*	−42.7*	−42.7*

Notes: This Table presents the sample statistics for the various commodity-based samples. Each sample consists of the named commodity and the stocks of African countries that are major producers or exporters of the commodity. JB, ADF, and PP represent the Jarque-Bera test of normality, Augmented Dickey-Fuller stationarity test, and Phillips-Perron test of stationarity, respectively and all test statistics have a p < 0.001 (*).

Figure A1. Trajectories of indices and returns of African stocks and global commodities.

Notes: Every sample comprises of the named commodity and the stocks of African countries that are major producers or exporters of the commodity.