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Blackouts and stock markets: Evidence from load-shedding in South Africa

Author

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  • Obalade, Adefemi A.
  • Tita, Anthanasius F.
  • French, Joseph J.

Abstract

This study examines the impact of an energy crisis (load shedding) on South African sector equity returns and volatilities utilizing daily data and GARCH models. Our findings reveal heterogeneous responses across industries. Basic materials, consumer discretionary, industrial, and telecommunications sectors show resilience, with no significant impact on returns from higher load shedding stages. Consumer staples, financial, technology, and energy sectors exhibit negative relationships between returns and load shedding intensity. Notably, the health sector demonstrates a positive response to elevated load shedding levels. Counter-intuitively we find insignificant or negative impacts on industry volatilities to increased levels of load shedding. Our study contributes to understanding market behaviour under persistent economic stress and has implications for investors and policymakers in emerging markets.

Suggested Citation

  • Obalade, Adefemi A. & Tita, Anthanasius F. & French, Joseph J., 2024. "Blackouts and stock markets: Evidence from load-shedding in South Africa," Finance Research Letters, Elsevier, vol. 67(PA).
    • Handle: RePEc:eee:finlet:v:67:y:2024:i:pa:s1544612324007591
    DOI: 10.1016/j.frl.2024.105729
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    References listed on IDEAS

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    1. Obalade Adefemi A. & Muzindutsi Paul-Francois, 2019. "The Adaptive Market Hypothesis and the Day-of-the-Week Effect in African Stock Markets: the Markov Switching Model," Comparative Economic Research, Sciendo, vol. 22(3), pages 145-162, September.
    2. Vilija Aleknevičienė & Vaida Klasauskaitė & Eglė Aleknevičiūtė, 2022. "Behavior of calendar anomalies and the adaptive market hypothesis: evidence from the Baltic stock markets," Journal of Baltic Studies, Taylor & Francis Journals, vol. 53(2), pages 187-210, April.
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    More about this item

    Keywords

    Load-shedding; Energy crisis; Calendar anomalies; Africa;
    All these keywords.

    JEL classification:

    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G1 - Financial Economics - - General Financial Markets
    • G4 - Financial Economics - - Behavioral Finance

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