Political Crises and Risk of Financial Contagion in Developing Countries: Evidence from Africa

Asongu, Simplice

doi:10.2139/ssrn.2493091

Cited by 6 publications

(3 citation statements)

References 16 publications

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“…On the other hand, if the high correlation degree is not significant, the term 'interdependence' is used to qualify to relationship. (Asongu, 2011;Asongu, 2012ab). Consistent with the t-statistics approach, the significance of increase in correlations during the turmoil period (t) with respect to the stable(s) period is defined by:…”

Section: Methodsmentioning

confidence: 99%

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Globalization and Financial Market Contagion: Evidence from Financial Crisis and Natural Disasters

Asongu

2013

SSRN Journal

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OverviewWith financial globalization, investors can gain from diversification if returns from financial markets are stable and not correlated. However with volatility spillovers, increase in crossmarket correlations exist as a real-effect and are not taken into account for asset allocation and portfolio composition. This chapter assesses financial contagion from two recent trends in the world economy: the global financial crisis and the 2011 Japanese natural disasters (tsunami, earthquake and nuclear crises).

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Section: Methodsmentioning

confidence: 99%

“…But what has startled analysts and left them very concerned over the consequences of this earthquake is the nuclear disaster resulting there-from. Classified as a level-seven event on the International Nuclear Event Scale, the Fukushima nuclear incident has posed a risk equal to the worst nuclear power 2 Long-term Capital Management.…”

Section: Introductionmentioning

confidence: 99%

Globalization and Financial Market Contagion: Evidence from Financial Crisis and Natural Disasters

Asongu

2013

SSRN Journal

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“…A number of studies have been undertaken of contagion in Africa using the correlation-based approach popularised by King and Wadhwani (1990) and Forbes and Rigobon (2002). For example, Asongu (2011) used it to identify contagion in response to the Kenyan crisis of 2007-08 and Bello and Rodgers (2016) used a dynamic conditional correlation based variant to find evidence of contagion from the 2007-09 global financial crisis to African Frontier markets.…”

Section: Introduction Aims and Literaturementioning

confidence: 99%

Financial contagion and capital asset pricing in Africa: The impact of the 2007–09 and Euro-Zone crises on natural resources sector Beta in African emerging markets

Tony-Okeke

Ahmadu-Bello

Niklewski

et al. 2018

Research in International Business and Finance

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The 2011 Japanese earthquake, tsunami and nuclear crisis

Asongu

2012

Journal of Financial Economic Policy

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Purpose -Natural disasters may inflict significant damage upon international financial markets. The purpose of this study is to investigate if any contagion effect occurred in the immediate aftermath of the Japanese earthquake, tsunami and subsequent nuclear crisis. Design/methodology/approach -Using 33 international stock indices and exchange rates, this paper uses heteroscedasticity biases based on correlation coefficients to examine if any contagion occurred across financial markets after the March 11, 2011 Japanese earthquake, tsunami and nuclear crisis. The sample period is partitioned into two sections: the 12-month pre-earthquake period (March 11, 2010 to March 10, 2011 and the 2-month post-earthquake period (March 11, 2011 to May 10, 2011. While the stability period is defined as the pre-earthquake period, the turbulent (turmoil) period is defined as the post-earthquake period. In a bid to ensure robustness of the findings, the turmoil period is further partitioned into two equal sections: the 1-month (short-term) post-earthquake period (March 11, 2011 to April 10, 2011, and the 2-month (medium-term) post-earthquake (March 11, 2011 to May 10, 2011. Findings -Findings reveal that, while no sampled foreign exchange markets suffered from contagion, stock markets of Taiwan, Bahrain, Saudi Arabia and South Africa witnessed a contagion effect. Practical implications -The results have two paramount implications. First, the paper has confirmed existing consensus that in the face of natural crises that could take an international scale, emerging markets are contagiously affected for the most part. Second, the empirical evidence also suggests that international financial market transmissions not only occur during financial crisis; natural disaster effects should not be undermined. Originality/value -This paper has shown that the correlation structure of international financial markets are also affected by high profile natural disasters.

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Political Crises and Risk of Financial Contagion in Developing Countries: Evidence from Africa

Cited by 6 publications

References 16 publications

Globalization and Financial Market Contagion: Evidence from Financial Crisis and Natural Disasters

Globalization and Financial Market Contagion: Evidence from Financial Crisis and Natural Disasters

Financial contagion and capital asset pricing in Africa: The impact of the 2007–09 and Euro-Zone crises on natural resources sector Beta in African emerging markets

The 2011 Japanese earthquake, tsunami and nuclear crisis

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