Financial contagion effects of major crises in African stock markets
研究了2005至2020年间全球金融危机、欧债危机、英国脱欧和新冠疫情对非洲股市的传染效应，发现区域层面仅在金融危机时有显著传染，且传染程度受国家风险、市值、出口占比和腐败影响。
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.