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Volatility Spillover Across Sovereign Bond Markets Between African, Emerging and USA Economies

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  • Wajebo Temesgen Woldamanuel

    (Addis Ababa University, Addis Ababa, Ethiopia)

Abstract

This study attempted to examine the volatility spillover between the sovereign bond returns of South Africa and Ghana and the emerging market bond return, USA stock market return and the world long term interest rate using weekly data in the period of 2014–2022. The research used dynamic and constant conditional correlation generalized auto-regressive conditional Heteroskedasticsticity models. The result showed that the volatility of long-term world bond interest rate and USA stock market return affected the Ghana sovereign bond return positively and negatively, respectively. Similarly, the volatility of emerging market bond return and long-term world interest rate affected the South African sovereign bond return positively and negatively, respectively. Thus, policy intervention is needed to contain the negative impact of stock market and long-term world interest rates.

Suggested Citation

  • Wajebo Temesgen Woldamanuel, 2022. "Volatility Spillover Across Sovereign Bond Markets Between African, Emerging and USA Economies," Economics and Business, Sciendo, vol. 36(1), pages 149-163, January.
    • Handle: RePEc:vrs:ecobus:v:36:y:2022:i:1:p:149-163:n:10
    DOI: 10.2478/eb-2022-0010
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    References listed on IDEAS

    as
    1. Samir Jahjah & Bin Wei & Vivian Zhanwei Yue, 2013. "Exchange Rate Policy and Sovereign Bond Spreads in Developing Countries," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(7), pages 1275-1300, October.
    2. Peter Claeys & Borek Vašícek, 2012. "“Measuring Sovereign Bond Spillover in Europe and the Impact of Rating News”," IREA Working Papers 201219, University of Barcelona, Research Institute of Applied Economics, revised Nov 2012.
    3. Hooker, Mark A., 2004. "Macroeconomic factors and emerging market equity returns: a Bayesian model selection approach," Emerging Markets Review, Elsevier, vol. 5(4), pages 379-387, December.
    4. Maysami, Ramin Cooper & Koh, Tiong Sim, 2000. "A vector error correction model of the Singapore stock market," International Review of Economics & Finance, Elsevier, vol. 9(1), pages 79-96, February.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Emerging bond return; sovereign bond markets; US stock market return; volatility spillover;
    All these keywords.

    JEL classification:

    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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