Does time-varying risk aversion sentiment matter in the connectedness among Sub-Saharan African bond markets?

Document Type

Article

Source of Publication

Emerging Markets Review

Publication Date

5-1-2024

Abstract

Several bond markets in sub-Saharan Africa (SSA) are defaulting due to hiking spreads amid the stressed states introduced by the COVID-19 pandemic and the geopolitical risk tensions from the Russia-Ukraine conflict. Are there controllable factors that drive these markets? We investigate the dynamic connection shared by SSA bond markets and assess the role of investor sentiment measures, focusing on the risk aversion sentiment of international investors. Our results, across different trading horizons, are expected to aid in the formulation of policies for regulating and developing bond markets of emerging economies, particularly SSA. In terms of both return and volatility of SSA bonds, we find risk aversion sentiment an important transmitter of spillover for all investment horizons.

ISSN

1566-6173

Publisher

Elsevier BV

First Page

101160

Last Page

101160

Disciplines

Business

Keywords

risk aversion sentiment, bond markets, Sub-Saharan Africa, investor sentiment measures, emerging economies

Indexed in Scopus

no

Open Access

no

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