Spillovers in Sub-Saharan Africa's Sovereign Eurobond Yields

This study investigates the possibility of spillovers among Sub-Saharan African (SSA) eurobonds from January 2015 to June 2017 using secondary market yields. Our results indicate significant contagion effects among these bonds, effects that prove sensitive to major economic events and news announcements. They also suggest that less resilient economies transmit more to and receive less spillovers from their peers. SSA eurobond issuers can therefore increase their influence over the performance of their securities on secondary markets by mitigating their vulnerability to these effects. Besides strong macroeconomic fundamentals, an improvement in transparency and information disclosure is required in order to curb the asymmetry of information underlying investors' behavior-based spillovers and contagion, which supports to a certain extent the market discipline hypothesis in the case of SSA eurobonds.