Oil Price Dynamics, Exchange Rate and Stock Market Returns in Net Oil Exporting African Countries Before and After Global Financial Crises

This study examined the relationship among oil price, exchange rates and stock market returns before [1990- 2008] and after [2009-2023] global financial crisis in the net oil exporting African countries. Data for the study were sourced from Energy Information online database, International Monetary Fund [IMF] online database and World Bank development indicator online database. Data sourced were estimated by non-linear Autoregressive Distributed Model, ARCH and GARCH, Vector Autoregressive Model and Panel Granger Causality Tests. Results from unit root test showed that variables of interests were integrated of mixed orders 1[0] and 1[1]. The result from NARDL revealed that there is co-integration and non-linear long run connection among oil price, exchange rates and stock market returns in net oil exporting African Countries. The results from panel NARDL further showed that exchange rate appreciate significantly during positive oil price but depreciate mildly during negative oil price. Also, empirical result further revealed that positive oil price did not impact stock market returns significantly while negative oil price has significant negative influence on stock market returns during the study period. The result from panel pairwise granger causality revealed that causality running from oil price to exchange rate and stock market returns but causality did not run from exchange rate and stock market. However, the study found that the effect of negative oil price on exchange rate and stock market returns after global financial crises was more pronounced. That is, negative oil price had more adverse effect on both exchange rate and stock market return during the study period.Based on these findings, the study concludes that both stock market returns and exchange rate are sensitive to the behavior of oil price at international oil market. The study recommends that investors and monetary authority should monitor the behavior of oil price at international oil market when designing their policies.