Connectedness of the African Equity Markets: A Time-Frequency Spillover Analysis
This paper analyses return and volatility spillovers across the five largest and oldest African equity markets, namely: South Africa, Morocco, Egypt, Nigeria and Tunisia. The time-domain approach of Diebold and Yilmaz (2012) and the frequency-domain approach of Barunik and Khrehlik (2018) are employ...
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| Format: | Dissertation |
| Language: | English |
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Faculty of Commerce
2020
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| Online Access: | http://hdl.handle.net/11427/31419 |