This study analyses the asymmetric impact of crude oil prices and exchange rates on stock market performance across 15 African countries from 2018 to 2024. It examines how these relationships vary across bearish, normal and bullish market conditions, challenging the efficient market hypothesis in African contexts.
The study employs Method of Moments Quantile Regression (MMQR) with fixed effects, capturing regime-dependent responses and cross-sectional heterogeneity. Subsample analysis differentiates oil-exporting countries (Nigeria, Angola, Libya) from oil-importing nations.
Oil prices exert a positive impact on stock markets which is stronger during downturns (0.97 at 0.10 quantile) than bullish periods (0.63 at 0.90 quantile). Exchange rate depreciation has a negative effect across quantiles (−0.14 to −0.11). Oil-exporting countries benefit more from price increases during downturns than importers.
Oil exporters should accumulate sovereign wealth funds during price upswings. Importers need exchange rate stabilisation, as depreciation reduces stock values. Investors should increase oil-sector exposure during bearish markets and hedge currency risk in import-dependent economies.
This study contributes limited multi-country evidence on Africa's oil–stock nexus using quantile techniques, providing actionable guidance for currency stabilization, sovereign wealth fund management and diversification strategies.
