Abstract
This research aims to evaluate the impact of the COVID-19 pandemic on stock markets in Africa. The study analyzes the stock market returns in nine selected African countries (South Africa, Morocco, Tunisia, Botswana, Nigeria, Uganda, Kenya, Mauritius, and Tanzania) before, during, and after the COVID-19 pandemic. We investigate the impact of COVID-19 on stock market returns and the effect of the worst-hit country's volatility on other African countries' stock market returns utilizing autoregressive conditional heteroscedasticity (ARCH), generalized ARCH (GARCH), and threshold ARCH (TARCH) tests. Additionally, we explore the implications for foreign investors in terms of portfolio diversification and risk management, contributing to the existing literature on the effects of the COVID-19 crisis on financial markets and investment risk. Thereby, we provide insights into African stock markets' interconnectedness and help foreign investors reduce their losses and manage risks associated with the COVID-19 pandemic. Finally, we discuss the need for further research.
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