Please use this identifier to cite or link to this item:
https://digital.lib.ueh.edu.vn/handle/UEH/76063
Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Mariya Gubareva | - |
dc.contributor.other | Vincent Adela | - |
dc.contributor.other | Xuan Vinh Vo | - |
dc.date.accessioned | 2025-08-28T01:53:51Z | - |
dc.date.available | 2025-08-28T01:53:51Z | - |
dc.date.issued | 2025 | - |
dc.identifier.issn | 2214-8450 (Print), 2214-8469 (Online) | - |
dc.identifier.uri | https://digital.lib.ueh.edu.vn/handle/UEH/76063 | - |
dc.description.abstract | This 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.iso | eng | - |
dc.publisher | Borsa İstanbul | - |
dc.relation.ispartof | BORSA ISTANBUL REVIEW | - |
dc.relation.ispartofseries | Vol.25, Issue 3 | - |
dc.rights | Borsa İstanbul Anonim Şirketi | - |
dc.subject | TVP-VAR | en |
dc.subject | Extended joint connectedness | en |
dc.subject | Sub-Saharan forex markets | en |
dc.subject | Forex rates determinants | en |
dc.subject | Return and volatility spillovers | en |
dc.subject | Self-induced shocks | en |
dc.title | Interconnectedness and idiosyncratic risks in sub-Saharan forex markets: Implications for investment, portfolio management, and policy formulation | en |
dc.type | Journal Article | en |
dc.identifier.doi | https://doi.org/10.1016/j.bir.2025.02.003 | - |
dc.format.firstpage | 513 | - |
dc.format.lastpage | 532 | - |
ueh.JournalRanking | ISI | - |
item.fulltext | Only abstracts | - |
item.openairetype | Journal Article | - |
item.cerifentitytype | Publications | - |
item.grantfulltext | none | - |
item.openairecristype | http://purl.org/coar/resource_type/c_18cf | - |
item.languageiso639-1 | en | - |
Appears in Collections: | INTERNATIONAL PUBLICATIONS |
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.