Return and volatility spillovers to African currencies markets

Eric Martial Etoundi Atenga and Mbodja Mougoue

Journal of International Financial Markets, Institutions and Money, 2021, vol. 73, issue C

Abstract: Using daily exchange rate data from February 02, 2000 to September 25, 2019, this paper examines the world connectedness of African currencies markets by analyzing return and volatility spillovers from the currencies of developed and emerging markets to African currencies. The study also investigates spillovers among African currencies. The empirical findings reveal that African currencies are more responsive to their own-.variable market than to regional and/or global return and volatility spillovers. The only exceptions are BWP, MAD, TND, and ZAR that are found to be integrated with other currencies, with significant meteor showers for both return and volatility.

Keywords: Currency markets; Volatility and return spillovers; Heat waves; Meteor showers; Network methodology (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:73:y:2021:i:c:s1042443121000676

DOI: 10.1016/j.intfin.2021.101348

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