Abstract
This study investigates risk spillovers among sub-Saharan African (SSA) stock markets, the Middle East, and North Africa (MENA). Analyzing daily data from March 27th, 2014, to January 24th, 2022, using a quantile connectedness approach, we find high and heterogeneous connectedness, particularly during extreme market conditions. Lower and upper quantiles exhibit the strongest connectivity and shock transmission. Network structure intensified during the global health crisis and subsequent recovery phase. Geopolitical and oil price uncertainty are significant drivers in risk spillovers between SSA and MENA equity markets. The observed variation in transfer spillovers across quantiles offers investors opportunities to optimize hedging strategies. Our findings underscore the need for policymakers to consider market interconnectedness when developing measures to address asset price sensitivity.
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