Connectedness and risk spillovers among sub-Saharan Africa and MENA equity markets

IF 5.6 2区 经济学 Q1 BUSINESS, FINANCE
Gaye-Del Lo , Isaac Marcelin , Théophile Bassène , Assane Lo
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引用次数: 0

Abstract

This study investigates risk spillovers among sub-Saharan African (SSA) stock markets, the Middle East, and North Africa (MENA). Analyzing daily data from March 27th, 2014, to January 24th, 2022, using a quantile connectedness approach, we find high and heterogeneous connectedness, particularly during extreme market conditions. Lower and upper quantiles exhibit the strongest connectivity and shock transmission. Network structure intensified during the global health crisis and subsequent recovery phase. Geopolitical and oil price uncertainty are significant drivers in risk spillovers between SSA and MENA equity markets. The observed variation in transfer spillovers across quantiles offers investors opportunities to optimize hedging strategies. Our findings underscore the need for policymakers to consider market interconnectedness when developing measures to address asset price sensitivity.

撒哈拉以南非洲和中东及北非股票市场之间的关联性和风险溢出效应
本研究调查了撒哈拉以南非洲(SSA)股票市场、中东和北非(MENA)股票市场之间的风险溢出效应。通过分析 2014 年 3 月 27 日至 2022 年 1 月 24 日的每日数据,我们发现了高度和异质性的关联性,尤其是在极端市场条件下。较低和较高的量级表现出最强的连通性和冲击传递性。在全球健康危机和随后的复苏阶段,网络结构加剧。地缘政治和石油价格的不确定性是 SSA 和 MENA 股票市场之间风险溢出的重要驱动因素。观察到的不同数量级之间转移溢出效应的差异为投资者提供了优化对冲策略的机会。我们的研究结果突出表明,决策者在制定资产价格敏感性措施时,需要考虑市场的相互关联性。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
CiteScore
7.10
自引率
4.20%
发文量
85
审稿时长
100 days
期刊介绍: The intent of the editors is to consolidate Emerging Markets Review as the premier vehicle for publishing high impact empirical and theoretical studies in emerging markets finance. Preference will be given to comparative studies that take global and regional perspectives, detailed single country studies that address critical policy issues and have significant global and regional implications, and papers that address the interactions of national and international financial architecture. We especially welcome papers that take institutional as well as financial perspectives.
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