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

被引：0

作者：

Umar, Zaghum ^{[1
,2
]}

Bossman, Ahmed ^{[3
]}

Teplova, Tamara ^{[5
]}

Marfo-Yiadom, Edward ^{[4
]}

机构：

[1] Zayed Univ, Coll Business, PO, POB 144534, Abu Dhabi, U Arab Emirates

[2] Lebanese Amer Univ, Adnan Kassar Sch Business, Beirut, Lebanon

[3] Univ Cape Coast, Sch Business, Dept Finance, CC 191 7613, Cape Coast, Ghana

[4] Univ Cape Coast, Sch Business, Dept Accounting, 191 7613 CC, Cape Coast, Ghana

[5] HSE Univ, Moscow, Russia

来源：

EMERGING MARKETS REVIEW | 2024年 / 61卷

基金：

俄罗斯科学基金会;

关键词：

Risk aversion; Investor sentiment; Bond markets; Bond yield; Sub-Saharan Africa; TVP-VAR connectedness; DYNAMICS; STOCKS;

D O I：

10.1016/j.ememar.2024.101160

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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.

引用

页数：17

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