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

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

Emerging Markets Review, 2024, vol. 61, issue C

Abstract: 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.

Keywords: Risk aversion; Investor sentiment; Bond markets; Bond yield; Sub-Saharan Africa; TVP-VAR connectedness (search for similar items in EconPapers)
JEL-codes: G00 G01 G10 G12 G15 N27 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1566014124000554
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:61:y:2024:i:c:s1566014124000554

DOI: 10.1016/j.ememar.2024.101160

Access Statistics for this article

Emerging Markets Review is currently edited by Jonathan A. Batten

More articles in Emerging Markets Review from Elsevier
Bibliographic data for series maintained by Catherine Liu ().