TITLE:
The Dynamic Connectedness of BRVM Sector Stock Indices and the International Price of Crude Oil
AUTHORS:
Ousmane Ba, Pierre Mendy
KEYWORDS:
Sector Indices, Oil Prices, Temporal and Frequency Connectedness
JOURNAL NAME:
Journal of Financial Risk Management,
Vol.14 No.4,
December
8,
2025
ABSTRACT: The objective of this paper is to analyze the dynamic connectivity between the stock market indices of the various sectors of the BRVM1 financial market (finance, industry, utilities, transportation, distribution, agriculture) and the oil market (international price of Brent crude oil). The results obtained using the frequency connectivity approach based on the TVP-VAR, over the period from December 12, 2014, to December 31, 2023, show that total connectedness increases within the network and is more intense in the short term, hence the presence of contagion within the stock market. The finance sector is the main entity responsible for transmitting shocks to other sectors of activity. The oil market and agricultural sectors are the main recipients of risk at the network level. The industrial sector is both a recipient and transmitter of volatility within the network in the short term. The financial sphere of the WAEMU does not yet constitute a channel for transmitting oil shocks to the real economy of the union’s member economies. Central authorities should consider potential asymmetric oil price shocks and strengthen and invigorate the regional financial market.