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

Gaye-Del Lo, Isaac Marcelin, Théophile Bassène and Assane Lo

Emerging Markets Review, 2024, vol. 63, issue C

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.

Keywords: Spillover; Global uncertainty; Network analysis; COVID-19; Connectedness (search for similar items in EconPapers)
JEL-codes: C53 E44 F36 (search for similar items in EconPapers)
Date: 2024
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:63:y:2024:i:c:s1566014124000888

DOI: 10.1016/j.ememar.2024.101193

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