Citation

Yeboah, Samuel Duku (2026) Turbulence and transmission: currency-stock spillovers in Sub-Saharan Africa. Scientific African, 33. e03555. ISSN 24682276

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Abstract

This study investigates the interconnectedness between currencies and stock markets in Sub-Saharan Africa (SSA) through a dynamic quantile–based connectedness framework. By integrating quantile spillover indices with time–frequency decomposition, the analysis captures both the asymmetry of extreme market conditions and the persistence of spillovers across different horizons. Using daily data from January 2017 to June 2025, with a focus on the COVID-19 pandemic and the Russia–Ukraine war, the findings reveal that spillovers are markedly stronger during turbulent episodes, particularly at the lower and upper quantiles. Short-run dynamics dominate the transmission mechanism, although medium- and long-run linkages remain relevant. The results further show that while some markets consistently act as net transmitters of shocks, others are more vulnerable receivers, highlighting the heterogeneous nature of regional financial systems. These insights underscore the importance of accounting for tail risks and frequency-dependent channels in understanding financial contagion. The study contributes to the literature on emerging and frontier markets by providing robust evidence from Sub-Saharan Africa. It offers practical implications for risk management, regulatory oversight, and policy coordination in times of heightened global uncertainty.

Item Type:	Article
Uncontrolled Keywords:	Connectedness, Quantile spillovers, Time–frequency dynamics, Currencies, Stock markets, Sub-Saharan Africa
Subjects:	H Social Sciences > HG Finance > HG4501-6051 Investment, capital formation, speculation > HG4551-4598 Stock exchanges
Divisions:	Faculty of Management (FOM)
Depositing User:	Ms Suzilawati Abu Samah
Date Deposited:	04 Sep 2026 01:04
Last Modified:	04 Sep 2026 01:04
URII:	http://shdl.mmu.edu.my/id/eprint/16662

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