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Please use this identifier to cite or link to this item: https://digital.lib.ueh.edu.vn/handle/UEH/76063
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dc.contributor.authorMariya Gubareva-
dc.contributor.otherVincent Adela-
dc.contributor.otherXuan Vinh Vo-
dc.date.accessioned2025-08-28T01:53:51Z-
dc.date.available2025-08-28T01:53:51Z-
dc.date.issued2025-
dc.identifier.issn2214-8450 (Print), 2214-8469 (Online)-
dc.identifier.urihttps://digital.lib.ueh.edu.vn/handle/UEH/76063-
dc.description.abstractThis study examines the interconnectedness and idiosyncratic risks in sub-Saharan forex markets from 1999 to 2023. Using the TVP-VAR extended joint connectedness technique, we measure both the static and dynamic extended joint connectivity. Our analysis reveals that sub-Saharan forex markets are significantly influenced by self-induced shocks, with the South African and Namibian Dollars being notable exceptions. It is also observed that the joint total connectedness index for volatility spillovers consistently exceeds that for return spillovers. Additionally, we investigate the drivers of extended joint connectedness and identified mixed effects. Our analysis suggests that GPR, USEPU, MCI, VIX, and OVX asymmetrically influence return and volatility connectedness among sub-Saharan African forex markets. These findings have important implications for policy management and coordination across emerging sub-Saharan African markets.en
dc.language.isoeng-
dc.publisherBorsa İstanbul-
dc.relation.ispartofBORSA ISTANBUL REVIEW-
dc.relation.ispartofseriesVol.25, Issue 3-
dc.rightsBorsa İstanbul Anonim Şirketi-
dc.subjectTVP-VARen
dc.subjectExtended joint connectednessen
dc.subjectSub-Saharan forex marketsen
dc.subjectForex rates determinantsen
dc.subjectReturn and volatility spilloversen
dc.subjectSelf-induced shocksen
dc.titleInterconnectedness and idiosyncratic risks in sub-Saharan forex markets: Implications for investment, portfolio management, and policy formulationen
dc.typeJournal Articleen
dc.identifier.doihttps://doi.org/10.1016/j.bir.2025.02.003-
dc.format.firstpage513-
dc.format.lastpage532-
ueh.JournalRankingISI-
item.fulltextOnly abstracts-
item.openairetypeJournal Article-
item.cerifentitytypePublications-
item.grantfulltextnone-
item.openairecristypehttp://purl.org/coar/resource_type/c_18cf-
item.languageiso639-1en-
Appears in Collections:INTERNATIONAL PUBLICATIONS
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