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Return and volatility spillovers to African currencies markets

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  • Atenga, Eric Martial Etoundi
  • Mougoué, Mbodja

Abstract

Using daily exchange rate data from February 02, 2000 to September 25, 2019, this paper examines the world connectedness of African currencies markets by analyzing return and volatility spillovers from the currencies of developed and emerging markets to African currencies. The study also investigates spillovers among African currencies. The empirical findings reveal that African currencies are more responsive to their own-.variable market than to regional and/or global return and volatility spillovers. The only exceptions are BWP, MAD, TND, and ZAR that are found to be integrated with other currencies, with significant meteor showers for both return and volatility.

Suggested Citation

  • Atenga, Eric Martial Etoundi & Mougoué, Mbodja, 2021. "Return and volatility spillovers to African currencies markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 73(C).
    • Handle: RePEc:eee:intfin:v:73:y:2021:i:c:s1042443121000676
    DOI: 10.1016/j.intfin.2021.101348
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    2. Xu, Hao & Li, Songsong, 2023. "What impacts foreign capital flows to China's stock markets? Evidence from financial risk spillover networks," International Review of Economics & Finance, Elsevier, vol. 85(C), pages 559-577.

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