African stock markets’ connectedness: Quantile VAR approach

African stock markets’ connectedness: Quantile VAR approach

The present paper investigates African stock markets’ linkages by considering stocks in the continent’s largest economies, specifically Egypt, Kenya, Morocco, Nigeria, South Africa, and Tunisia. Using a dataset that spanned November 25, 2008, to September 18, 2023, the quantile connectedness approa...

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Bibliographic Details
Main Authors: OlaOluwa Yaya, Olayinka Adenikinju, Hammed A. Olayinka
Format: Article
Language:English
Published: Modern Finance Institute 2024-02-01
Series:Modern Finance
Subjects:
Quantile dynamic connectedness
Market phases
Vector autoregression
portfolio management
normal market condition
lower quantile of returns
Online Access:https://mf-journal.com/article/view/70

Internet

https://mf-journal.com/article/view/70

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