The global financial crisis: An analysis of the spillover effects on African stock markets

Kimiko Sugimoto, Takashi Matsuki and Yushi Yoshida

MPRA Paper from University Library of Munich, Germany

Abstract: This paper examines the relative importance of the global and regional markets for financial markets in developing countries, particularly during the US financial crisis and the European sovereign debt crisis. We examine the way in which the degree of regional (seven African markets combined), global (China, France, Germany, Japan, the UK and the US), commodity (gold and petroleum), and nominal effective exchange rate (Euro and US dollar) spillovers to individual African countries evolve during the two crises through the econometric method introduced by Diebold and Yilmaz (2012). We find that African markets are most severely affected by spillovers from global markets and modestly from commodity and currency markets. Conversely, the regional spillovers within Africa are smaller than the global ones and are insulated from the global crises. We also find that the aggregated spillover effects of European countries to the African markets exceeded that of the US even at the wake of the US financial crisis.

Keywords: African financial market; financial crisis; financial integration; spillover; variance decomposition. (search for similar items in EconPapers)
JEL-codes: F36 G15 O55 (search for similar items in EconPapers)
Date: 2013-10
New Economics Papers: this item is included in nep-afr
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Citations: View citations in EconPapers (14)

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Journal Article: The global financial crisis: An analysis of the spillover effects on African stock markets (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:50473

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