The impact of the US yield curve on sub-Saharan African equities

Document Type

Article

Source of Publication

Finance Research Letters

Publication Date

1-1-2023

Abstract

We study the impact of the components of the US yield curve on sub-Saharan African (SSA) equities. In a time-varying parameter vector auto-regressions connectedness model, we find that the short- and long-term maturities of the US yield curve significantly drive the connectedness between SSA equities whilst serving as the main sources of contagious spillovers in crisis periods. We find that the responses of SSA equities to returns and volatility spillovers in a system containing the yield curve's components are nonhomogeneous, rekindling the need for cross-market/asset hedging using SSA equities. Our findings have implications for international investors, regulators, and practitioners alike.

ISSN

1544-6131

Publisher

Elsevier BV

First Page

103636

Last Page

103636

Disciplines

Business

Keywords

Term structure of interest rates, Yield curve, Sub-saharan Africa, Emerging equity markets, Financial contagion, Spillover connectedness, Delayed contagion

Indexed in Scopus

no

Open Access

no

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