Financial contagion effects of major crises in African stock markets

Jaliyyah Bello; Jiaqi Guo; Mohammad Khaleq Newaz

doi:10.1016/j.irfa.2022.102128

Financial contagion effects of major crises in African stock markets

Jaliyyah Bello, Jiaqi Guo, Mohammad Khaleq Newaz

School of Economics, Finance and Accounting

University of Birmingham

Research output: Contribution to journal › Article › peer-review

5 Citations (Scopus)

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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.

Original language	English
Article number	102128
Journal	International Review of Financial Analysis
Volume	82
Early online date	15 Apr 2022
DOIs	https://doi.org/10.1016/j.irfa.2022.102128
Publication status	Published - Jul 2022

Bibliographical note

This is an Open Access article distributed under the terms of the Creative
Commons Attribution License (http://creativecommons.org/licenses/by/4.0/),
which permits unrestricted use, distribution, and reproduction in any medium,
provided the original work is properly cited.

Keywords

Financial crisis
Contagion effect
African stock markets

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Cite this

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title = "Financial contagion effects of major crises in African stock markets",

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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AU - Guo, Jiaqi

AU - Newaz, Mohammad Khaleq

N1 - This is an Open Access article distributed under the terms of the Creative Commons Attribution License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

PY - 2022/7

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N2 - 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.

AB - 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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VL - 82

JO - International Review of Financial Analysis

JF - International Review of Financial Analysis

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ER -

Financial contagion effects of major crises in African stock markets

Abstract

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