Mbodja Mougoue published in economics journal
Mike Ilitch School of Business Associate Professor of Finance Mbodja Mougoue had a recent article published in Empirical Economics.
According to Empirical Economics's website they publish "high-quality papers using econometric or statistical methods to fill the gap between economic theory and observed data. Papers explore such topics as estimation of established relationships between economic variables, testing of hypotheses derived from economic theory, treatment effect estimation, policy evaluation, simulation, forecasting, as well as econometric methods and measurement.”
The article, “Return and Volatility Spillovers to African Equity Markets and their Determinants,” discusses how international and regional shocks are transmitted to African equity markets.
The article was co-authored by Eric Martial Etoundi Atenga from the University of Yaounde II.
Abstract:
The main goal of this study is to examine how international and regional shocks are transmitted to African equity markets using a network methodology introduced and developed by Diebold and Yilmaz (2009, 2012 and 2014) with daily data ranging from January 03, 2007 till September 19, 2019. The main finding is that international and regional market shocks have heterogeneous and time-varying effects on African equity markets, the magnitude of which is explained by the degree of financial exposure and share to the world trade. Bidirectional spillovers reveal that African markets are net receivers for both return and volatility spillovers. Moreover, volatility shocks on these markets spread more vigorously than return shocks to Africa. Episodes of high spillovers emerged during the 2008 global financial and the 2012 European debt crisis. Peaks also appear when structural economic reforms or measures increasing market efficiency intervene on African markets. New to previous works on financial market spillover, we assess spillover channels in Africa employing linear panel regressions. Empirical estimates show that trade and financial exposure do not significantly explain return and volatility spillovers in African equity market. Global factors such as oil and metal prices are the main channels through which foreign shocks spread to African stock markets.
