Gaye-Del Lo , Isaac Marcelin , Théophile Bassène , Assane Lo
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Connectedness and risk spillovers among sub-Saharan Africa and MENA equity markets
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.
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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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