Mbodja Mougoué accepted for publication in Journal of International Financial Markets, Institutions and Money

Mike Ilitch School of Business Professor of Finance Mbodja Mougoué has been accepted for publication in the Journal of International Financial Markets, Institutions & Money, which publishes theoretical/conceptual and empirical papers providing meaningful insights into international aspects of financial markets, institutions and money.

The paper, titled “Return and Volatility Spillovers to African Currencies Markets,” was co-authored by Eric Martial Etoundi Atenga (University of Yaoundé 2, Cameroon).


Using daily exchange rate data from February 02, 2000, to September 25, 2019, this paper examines the world connectedness of African currencies markets. It does it by analyzing return and volatility spillovers from the currencies of developed and emerging markets to African currencies. The study also investigates spillovers among African currencies. The empirical findings reveal that African currencies are more responsive to their own variable market than to regional and/or global return and volatility spillovers. The only exceptions are BWP, MAD, TND, and ZAR that are found to be integrated with other currencies, with significant meteor showers for both return and volatility. The 2008 financial crisis and the uncertainty of commodity prices in 2015 led to an increase in return and volatility spillovers in many African currency markets. This is hardly surprising since many African economies are commodities-based so that declining commodities prices invariably caused a significant weakening of their currencies. Many industrial multinational firms in advanced economies (Europe and North America) and emerging economies (South East Asia and BRIC countries) acquire raw materials from African countries and are, therefore, exposed to exchange rate risk. Multinational corporations have also increasingly been moving production plants to Africa because of improving infrastructure and communication and relatively cheap labor. These multinationals may find our empirical findings useful in managing the risks inherent in their means of payment and defining optimal portfolios of African currencies during crisis and non-crisis periods.

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