Analysis of financial contagion in influential African stock markets

Abstract Drawing from the experience of global financial crisis that sprang forth US stock market, an empirical assessment dynamic correlation analysis contagion with evidence (5) African countries (South African, Nigeria, Egypt, Kenya, Tunisia) is presented. Monthly prices indices 2004 to 2018 was analyzed using conditional multivariate GARCH model ascertain contagious effect selected markets. By analyzing coefficient series, three phases periods were identified {pre-crisis (2004–2007); (2007–2009) and post-crisis (2009–2018), respectively}. The study revealed a significant relationship exists between returns market inspection pre-crisis, crisis, mean variance estimation shows period characterized by substantial increases in volatility, establishing shock experienced posed threat markets being examined. Further, period, increase (contagion) existed, while continued (herding) existed period.