Return and volatility spillovers to African equity markets and their determinants
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DOI: 10.1007/s00181-020-01881-9
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Cited by:
- Lord Mensah & Charles Andoh & Saint Kuttu & Eric Boachie-Yiadom, 2023. "The level of African forex markets integration and Eurobond issue," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 47(1), pages 232-250, March.
- Huang, Zhigang & Zhang, Weilan, 2024. "Exploring the Spillover effects of tail risk fluctuations in the RMB exchange rate—The time-frequency and quantile connectivity perspective," Research in International Business and Finance, Elsevier, vol. 72(PB).
- 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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More about this item
Keywords
Equity market; Forecast error variance; Spillover index; Linear panel; Trade exposure; Financial exposure;All these keywords.
JEL classification:
- F3 - International Economics - - International Finance
- F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- O55 - Economic Development, Innovation, Technological Change, and Growth - - Economywide Country Studies - - - Africa
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