Logo
Munich Personal RePEc Archive

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

Sugimoto, Kimiko and Matsuki, Takashi and Yoshida, Yushi (2013): The global financial crisis: An analysis of the spillover effects on African stock markets.

[thumbnail of MPRA_paper_50473.pdf]
Preview
PDF
MPRA_paper_50473.pdf

Download (2MB) | Preview

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.

Atom RSS 1.0 RSS 2.0

Contact us: mpra@ub.uni-muenchen.de

This repository has been built using EPrints software.

MPRA is a RePEc service hosted by Logo of the University Library LMU Munich.