Volatility Spillover Across Sovereign Bond Markets Between African, Emerging and USA Economies

Wajebo Temesgen Woldamanuel ()
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Wajebo Temesgen Woldamanuel: Addis Ababa University, Addis Ababa, Ethiopia

Economics and Business, 2022, vol. 36, issue 1, 149-163

Abstract: This study attempted to examine the volatility spillover between the sovereign bond returns of South Africa and Ghana and the emerging market bond return, USA stock market return and the world long term interest rate using weekly data in the period of 2014–2022. The research used dynamic and constant conditional correlation generalized auto-regressive conditional Heteroskedasticsticity models. The result showed that the volatility of long-term world bond interest rate and USA stock market return affected the Ghana sovereign bond return positively and negatively, respectively. Similarly, the volatility of emerging market bond return and long-term world interest rate affected the South African sovereign bond return positively and negatively, respectively. Thus, policy intervention is needed to contain the negative impact of stock market and long-term world interest rates.

Keywords: Emerging bond return; sovereign bond markets; US stock market return; volatility spillover (search for similar items in EconPapers)
JEL-codes: D53 G12 (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:vrs:ecobus:v:36:y:2022:i:1:p:149-163:n:10

DOI: 10.2478/eb-2022-0010

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