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Financial contagion effects of major crises in African stock markets

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  • Bello, Jaliyyah
  • Guo, Jiaqi
  • Newaz, Mohammad Khaleq

Abstract

This study examines financial contagion effects in African stock markets during major crises over the period 2005 to 2020. We investigate contagion effects in individual stock markets and from a regional perspective using dynamic conditional correlations during the global financial crisis, European debt crisis, Brexit, and COVID-19. The empirical evidence confirms contagion effects in some individual markets. However, significant evidence of contagion is found only during the global financial crisis from the regional perspective. Our findings suggest that the regional impacts of crises differ due to the nature of those crises. We also find financial contagion increases in the country-level risk, market capitalization and export to GDP and decreases in corruption.

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  • Bello, Jaliyyah & Guo, Jiaqi & Newaz, Mohammad Khaleq, 2022. "Financial contagion effects of major crises in African stock markets," International Review of Financial Analysis, Elsevier, vol. 82(C).
    • Handle: RePEc:eee:finana:v:82:y:2022:i:c:s1057521922000965
    DOI: 10.1016/j.irfa.2022.102128
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    More about this item

    Keywords

    Financial crisis; Contagion effect; African stock markets;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G20 - Financial Economics - - Financial Institutions and Services - - - General
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration

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