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Cited by 18Credit Risk and Financial RegulationsGlobal Financial Crisis and PoliciesFinancial Risk and Volatility Modeling

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Spillovers in Sub-Saharan Africa’s Sovereign Eurobond Yields

Senga, Christian, Cassimon, Danny·2020·Emerging Markets Finance and Trade
DOI 10.1080/1540496x.2019.1575724
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Abstract

This study investigates the possibility of spillovers among Sub-Saharan African (SSA) eurobonds from January 2015 to June 2017 using secondary market yields. Our results indicate significant contagion effects among these bonds, effects that prove sensitive to major economic events and news announcements. They also suggest that less resilient economies transmit more to and receive less spillovers from their peers. SSA eurobond issuers can therefore increase their influence over the performance of their securities on secondary markets by mitigating their vulnerability to these effects. Besides strong macroeconomic fundamentals, an improvement in transparency and information disclosure is required in order to curb the asymmetry of information underlying investors’ behavior-based spillovers and contagion, which supports to a certain extent the market discipline hypothesis in the case of SSA eurobonds.

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Metadata

Authors
Senga, C., & Cassimon, D.
Affiliations
University of Antwerp (BE)
Corresponding author
Senga, Christian
ORCID
Venue
Emerging Markets Finance and Trade
Publisher
Informa UK Limited
Published
2019-02-20
Volume
56
Issue
15
Pages
3746-3762
ISSN
  • 1061-2009 (ISSN-L)
  • 1540-496X
  • 1558-0938
DOI
10.1080/1540496x.2019.1575724
OpenAlex
W2904213381
Cited by
18
References
0
Citations by year
2025: 1 · 2024: 2 · 2023: 1 · 2022: 1 · 2021: 3 · 2020: 7 · 2019: 2
FWCI
3.92
Type
journal article
Language
en
Open access
closed
Locations
  • Emerging Markets Finance and Trade (publishedVersion)
  • RePEc: Research Papers in Economics (submittedVersion)
Funders
Academic Research Organisation for Policy Support (ACROPOLIS) initiative of the Belgian Development Cooperation
Topics
  • Social Sciences › Economics, Econometrics and Finance › Finance › Credit Risk and Financial Regulations
  • Social Sciences › Economics, Econometrics and Finance › Finance › Global Financial Crisis and Policies
  • Social Sciences › Economics, Econometrics and Finance › Finance › Financial Risk and Volatility Modeling
Keywords
spillover effects, financial contagion, sub-Saharan Africa, public debt, information asymmetry, information disclosure, economic resilience

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