时变的风险规避情绪对撒哈拉以南非洲债券市场之间的关联性有影响吗？

IF 5.6 2区经济学 Q1 BUSINESS, FINANCE

Emerging Markets Review Pub Date : 2024-05-25 DOI:10.1016/j.ememar.2024.101160

Zaghum Umar , Ahmed Bossman , Tamara Teplova , Edward Marfo-Yiadom

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引用次数: 0

摘要

在 COVID-19 大流行病引发的紧张状态和俄罗斯-乌克兰冲突造成的地缘政治风险紧张局势下，撒哈拉以南非洲地区（SSA）的一些债券市场因利差扩大而出现违约。是否存在推动这些市场的可控因素？我们研究了 SSA 债券市场共有的动态联系，并评估了投资者情绪指标的作用，重点关注国际投资者的风险规避情绪。我们的研究结果跨越了不同的交易期限，预计将有助于制定新兴经济体，尤其是撒哈拉以南非洲国家债券市场的监管和发展政策。从 SSA 债券的收益率和波动率来看，我们发现在所有投资期限内，风险规避情绪都是溢出效应的重要传递者。

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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Does time-varying risk aversion sentiment matter in the connectedness among Sub-Saharan African bond markets?

Several bond markets in sub-Saharan Africa (SSA) are defaulting due to hiking spreads amid the stressed states introduced by the COVID-19 pandemic and the geopolitical risk tensions from the Russia-Ukraine conflict. Are there controllable factors that drive these markets? We investigate the dynamic connection shared by SSA bond markets and assess the role of investor sentiment measures, focusing on the risk aversion sentiment of international investors. Our results, across different trading horizons, are expected to aid in the formulation of policies for regulating and developing bond markets of emerging economies, particularly SSA. In terms of both return and volatility of SSA bonds, we find risk aversion sentiment an important transmitter of spillover for all investment horizons.

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来源期刊

Emerging Markets Review Multiple-

CiteScore

7.10

自引率

4.20%

发文量

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.