Quantile Connectedness Between Stock Market Development and Macroeconomic Factors for Emerging African Economies

Maroua Ben Salem, Naif Alsagr, Samir Belkhaoui and Sahbi Farhani ()
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Maroua Ben Salem: Faculty of Economic Sciences and Management of Sfax (FSEGS), University of Sfax, Sfax 3029, Tunisia
Naif Alsagr: Humanities and Social Sciences Research Center (HSSRC), Deanship of Scientific Research, Imam Mohammad Ibn Saud Islamic University (IMSIU), Riyadh 11564, Saudi Arabia
Samir Belkhaoui: Faculty of Economic Sciences and Management of Mahdia (FSEGM), University of Monastir, Monastir 5000, Tunisia
Sahbi Farhani: Higher Institute of Finance and Taxation of Sousse (ISFFS), University of Sousse, Sousse 4002, Tunisia

IJFS, 2025, vol. 13, issue 4, 1-33

Abstract: This paper investigates the frequency dynamics of financial and macroeconomic connectedness by measuring tail-risk and uncertainty for two emerging African economies, namely Morocco and Tunisia, over the quarterly period Q2-2010 to Q4-2024. We employ a quantile connectedness approach, which, unlike traditional mean-based methods, leads to capturing asymmetries, tail-risk dependencies, and state-dependent spillovers, and to providing early warning signals of systemic stress and financial uncertainty. Our results reveal a stark divergence between the two stock markets in their roles in transmitting and absorbing shocks. The Moroccan stock market acts as a net transmitter, occasionally driving macroeconomic conditions and propagating uncertainty throughout the system. In contrast, the Tunisian stock market acts as a net receiver, with macroeconomic fundamentals, particularly GDP and money supply. These findings highlight how structural differences in emerging markets affect the transmission of shocks and offer actionable insights for policymakers, regulators, and investors to manage financial risks and uncertainty.

Keywords: stock market development; macroeconomic fundamentals; quantile connectedness approach; emerging African economies (search for similar items in EconPapers)
JEL-codes: F2 F3 F41 F42 G1 G2 G3 (search for similar items in EconPapers)
Date: 2025
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