ICEEMDAN-Based Transfer Entropy between Global Commodity Classes and African Equities

Table 1

Descriptive summary.

	Obs.	Min	Max	Mean	SD	Skewness	Kurtosis	Normtest.W	ADF	PP
Panel A: cocoa
Ghana	1972	−0.1844	0.1750	−0.0003	0.0101	0.0652	104.8500	0.6661^a	−17.528^a	−48.7839^a
Ivory Coast	1972	−0.0823	0.1036	−0.0002	0.0121	0.1671	6.4977	0.9370^a	−46.8546^a	−47.0482^a
Cocoa	1972	−0.0890	0.1149	0.0001	0.0180	−0.0475	1.7259	0.9878^a	−45.0131^a	−45.0131^a
Panel B: coffee
Ivory Coast	1680	−0.0723	0.1091	−0.0003	0.0124	0.5190	8.4786	0.9190^a	−43.6861^a	−43.6501^a
Kenya	1680	−0.3384	0.3205	0.0001	0.0173	−1.7359	184.4839	0.4779^a	−49.6608^a	−49.8064^a
Tanzania	1680	−0.3807	0.3911	−0.0001	0.0190	0.2442	218.9706	0.4415^a	−37.4915^a	−58.0894^a
Uganda	1680	−0.1995	0.1055	−0.0002	0.0126	−2.1530	44.1631	0.8072^a	−38.2268^a	−38.6505^a
Coffee	1680	−0.1505	0.2180	0.0003	0.0239	0.5653	6.1437	0.9537^a	−43.0812^a	−43.0746^a
Panel C: copper
Namibia	2514	−1.4841	1.5234	0.000	0.0476	0.9116	787.6078	0.2793^a	−38.9807^a	−93.3737^a
South Africa	2514	−0.1214	0.0891	0.0001	0.0179	−0.5405	3.6386	0.9646^a	−49.6459^a	−49.8784^a
Zambia	2514	−0.0851	0.1234	−0.0002	0.0122	0.3057	12.1004	0.8648^a	−41.7554^a	−41.7409^a
Copper	2514	−0.1109	0.0988	0.0001	0.0155	−0.1475	3.8851	0.9636^a	−51.6736^a	−51.7484^a
Panel D: corn
Egypt	1500	−0.4048	0.2659	−0.0002	0.0245	−3.7138	81.0439	0.6664^a	−34.8129^a	−34.6987^a
Kenya	1500	−0.3384	0.3205	0.0002	0.0185	−1.6310	148.3292	0.5600^a	−43.1659^a	−43.0374^a
Malawi	1500	−0.3944	0.3033	0.0003	0.0192	−8.9872	278.4907	0.2901^a	−19.7749^a	−39.7032^a
Nigeria	1500	−0.3213	0.1037	−0.0002	0.0187	−5.3234	81.6910	0.6589^a	−35.6957^a	−36.3834^a
South Africa	1500	−0.2240	0.0876	0.0001	0.0225	−1.9575	16.3399	0.8766^a	−40.4411^a	−40.4639^a
Uganda	1500	−0.2022	0.1055	0.0000	0.0158	−1.5903	23.5141	0.8387^a	−37.3765^a	−37.7664^a
Corn	1500	−0.2909	0.0858	−0.0001	0.0241	−2.9605	29.2003	0.7994^a	−36.4454^a	−36.3915^a
Panel E: crude oil
Egypt	2023	−0.4048	0.1170	−0.0002	0.0216	−5.8759	100.6912	0.7104^a	−39.7403^a	−39.4535^a
Morocco	2023	−0.1732	0.0556	0.0000	0.0102	−2.4088	44.2860	0.8518^a	−40.8932^a	−40.8884^a
Nigeria	2023	−0.3426	0.0812	−0.0002	0.0163	−5.8521	110.6448	0.6922^a	−40.0702^a	−40.7037^a
Tunisia	2023	−0.0951	0.1086	−0.0002	0.0096	−0.1891	16.8704	0.8915^a	−47.959^a	−47.959^a
Crude oil	2023	−0.6856	0.3196	0.0001	0.0358	−3.8484	84.6567	0.7053^a	−24.5349^a	−49.6916^a
Panel F: gold
Ghana	1765	−0.1844	0.1750	−0.0003	0.0103	−0.9313	111.4390	0.6378^a	−17.5152^a	−48.3704^a
Ivory Coast	1765	−0.0663	0.1148	−0.0003	0.0126	1.0164	10.6749	0.8996^a	−43.911^a	−43.9843^a
South Africa	1765	−0.1492	0.0840	0.0001	0.0182	−0.9988	7.6810	0.9333^a	−43.4889^a	−43.4889^a
Tanzania	1765	−0.3807	0.3930	−0.0001	0.0186	0.4598	226.0898	0.4428^a	−38.6487^a	−60.0466^a
Gold	1765	−0.0888	0.0525	0.0001	0.0101	−1.1150	9.7180	0.9124^a	−40.8272^a	−40.8123^a
Panel G: natural gas
Egypt	1880	−0.4048	0.2548	−0.0003	0.0222	−3.0051	74.0860	0.7287^a	−38.0372^a	−37.9597^a
Nigeria	1880	−0.3426	0.0893	−0.0002	0.0171	−5.8108	103.1627	0.6708^a	−38.6803^a	−39.3506^a
Tanzania	1880	−0.1907	0.1778	0.0000	0.0137	0.7186	56.4202	0.6514^a	−53.2264^a	−52.2806^a
Natural gas	1880	−0.2866	0.2637	0.0000	0.0386	0.3514	7.6845	0.9118^a	−46.9268^a	−47.3475^a
Panel H: palladium
South Africa	973	−0.1264	0.0840	0.0001	0.0187	−0.8466	5.4978	0.9396^a	−31.8417^a	−31.8349^a
Zimbabwe	973	−0.9230	0.1656	0.0001	0.0499	−11.6507	200.3893	0.3812^a	−13.995^a	−28.0297^a
Palladium	973	−0.2298	0.1814	0.0008	0.0234	−0.7266	15.9859	0.8704^a	−27.4854^a	−27.3236^a
Panel I: palm oil
Ghana	1971	−0.1899	0.1750	−0.0003	0.0102	−0.2971	108.8040	0.6714^a	−15.0156^a	−49.813^a
Ivory Coast	1971	−0.0663	0.1114	−0.0002	0.0122	0.6882	8.7048	0.9200^a	−47.3046^a	−47.416^a
Kenya	1971	−0.3384	0.3205	0.0000	0.0153	−0.9127	234.9609	0.5133^a	−55.1105^a	−55.6653^a
South Africa	1971	−0.1400	0.0840	0.0001	0.0178	−0.6833	5.2416	0.9544^a	−46.3204^a	−46.3017^a
Palm oil	1971	−0.1219	0.1304	0.0003	0.0179	−0.1353	5.5025	0.9511^a	−47.2528^a	−47.2528^a
Panel J: rice
Egypt	1849	−0.4048	0.2548	−0.0003	0.0224	−2.9181	72.2304	0.7279^a	−38.0794^a	−38.0155^a
Nigeria	1849	−0.3426	0.0893	−0.0002	0.0173	−5.6259	99.9010	0.6705^a	−38.1888^a	−38.8014^a
Tanzania	1849	−0.1907	0.1778	0.0000	0.0139	0.8522	56.0470	0.6438^a	−52.7263^a	−51.8117^a
Rice	1849	−4.6766	4.8092	0.0001	0.1575	1.2361	887.3842	0.0565^a	−22.3664^a	−309.259^a
Panel K: silver
Namibia	2724	−1.4841	1.5234	0.0000	0.0458	0.9491	852.4708	0.2763^a	−40.5522^a	−97.5834^a
Zambia	2724	−0.1055	0.1234	−0.0002	0.0119	0.3309	14.1308	0.8546^a	−44.8787^a	−44.994^a
Silver	2724	−0.1979	0.1472	0.0001	0.0195	−0.8753	10.8045	0.8996^a	−38.5115^a	−50.5268^a
Panel L: soybeans
Ghana	2022	−0.1844	0.1750	−0.0003	0.0104	−1.0241	104.6118	0.6534^a	−18.6538^a	−51.1332^a
Malawi	2022	−0.3946	0.2992	0.0003	0.0164	−10.9823	393.8550	0.2505^a	−44.9919^a	−45.8344^a
Nigeria	2022	−0.3426	0.0947	−0.0002	0.0158	−7.4810	143.8948	0.6165^a	−40.091^a	−40.8739^a
Uganda	2022	−0.1995	0.1055	0.0000	0.0138	−1.5791	29.4339	0.8302^a	−45.0267^a	−45.3517^a
Zambia	2022	−0.3908	0.1505	−0.0004	0.0149	−8.3849	239.6836	0.6076^a	−41.7939^a	−41.8346^a
Soybeans	2022	−0.1668	0.0726	0.0001	0.0149	−1.4990	13.6953	0.9033^a	−42.6755^a	−42.6686^a

Notes. ^a.