期刊
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS
卷 82, 期 -, 页码 -出版社
ELSEVIER SCIENCE INC
DOI: 10.1016/j.irfa.2022.102128
关键词
Financial crisis; Contagion effect; African stock markets
This study examines financial contagion effects in African stock markets during major crises from 2005 to 2020. The findings indicate that contagion effects exist in some individual markets, but significant regional contagion evidence is found only during the global financial crisis.
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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