Dynamic connections between Africa's emerging equity markets and global financial assets

Boakye Dankwah, Emmanuel Abakah, Elikplimi Komla Agbloyor and Chi-Chuan Lee

Emerging Markets Review, 2025, vol. 68, issue C

Abstract: Using the novel quantile vector autoregression (QVAR) approach, the present study investigates the dynamics of the spillovers and connectedness among Africa's emerging equity markets and the international equity and alternative markets under different market conditions from 2012 to 2022. More specifically, the study analyzes the shock transmission between 12 of Africa's emerging and frontier markets, 4 international equity markets, and 5 alternative emerging assets under both normal and extreme market conditions. The study finds asymmetric spillovers and connectedness among Africa's equity markets and the international markets across the different market conditions. Moreover, it identifies close symmetry in the return and volatility spillovers and connectedness under bullish and bearish market conditions. The findings also reveal that Africa's markets are more connected with conventional assets than with emerging alternative assets. Furthermore, the study observes a low degree of connectedness among Africa's equity markets across the analyzed market conditions, signifying the low level of integration of the markets. These results suggest the potential diversification benefits of the assessed markets for portfolio investors under normal market conditions but fail to evidence a hedge or safe haven for investors during bad times because the volume of the spillovers and connectedness with other assets increases as conditions become fiercer.

Keywords: African markets; Spillovers; Dependence; Alternative assets; QVAR (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:68:y:2025:i:c:s156601412500086x

DOI: 10.1016/j.ememar.2025.101337

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