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Interconnectedness of Stock Indices in African Economies Under Financial, Health, and Political Crises

Author

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  • Anouar Chaouch

    (Institut Supérieur de Gestion, University of Tunis, Tunis 2000, Tunisia
    Laboratoire de Recherche en Économie Quantitative du Développement, University of Tunis El Manar, B.P 248 El Manar II, Tunis 2092, Tunisia)

  • Salim Ben Sassi

    (Institut Supérieur de Gestion, University of Tunis, Tunis 2000, Tunisia
    Laboratoire de Recherche en Économie Quantitative du Développement, University of Tunis El Manar, B.P 248 El Manar II, Tunis 2092, Tunisia)

Abstract

This study examines the interconnectedness of African stock markets during three major global crises: the 2008 Global Financial Crisis (GFC), the COVID-19 pandemic, and the Russia–Ukraine conflict. We use daily stock index data from 2007 to 2023 for ten African countries and apply a Time-Varying Parameter Vector Autoregressive (TVP-VAR) model. The results reveal that volatility connectedness among African markets intensified during all three crises, peaking during the COVID-19 pandemic followed by the 2008 GFC and the Russia–Ukraine conflict. Short-term connectedness consistently exceeded long-term connectedness across all crises. South Africa and Egypt acted as dominant transmitters of volatility, highlighting their systemic importance, while Morocco showed increased influence during the COVID-19 pandemic. These findings suggest that African markets are more globally integrated than previously assumed, making them vulnerable to external shocks. Policy implications include the need for stronger regional financial cooperation, the development of early warning systems, and enhanced intra-African investment to improve market resilience and reduce contagion risk.

Suggested Citation

  • Anouar Chaouch & Salim Ben Sassi, 2025. "Interconnectedness of Stock Indices in African Economies Under Financial, Health, and Political Crises," JRFM, MDPI, vol. 18(5), pages 1-33, April.
    • Handle: RePEc:gam:jjrfmx:v:18:y:2025:i:5:p:238-:d:1646274
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