Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/340585 
Year of Publication: 
2025
Citation: 
[Journal:] Borsa İstanbul Review [ISSN:] 2214-8469 [Volume:] 25 [Issue:] 3 [Year:] 2025 [Pages:] 513-532
Publisher: 
Elsevier, Amsterdam
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.
Subjects: 
Extended joint connectedness
Forex rates determinants
Return and volatility spillovers
Self-induced shocks
Sub-Saharan forex markets
TVP-VAR
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Article
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