Connectedness and risk spillovers among sub-Saharan Africa and MENA equity markets
Description
This guide provides a comprehensive outline for replicating the empirical analysis on "Connectedness and Risk Spillovers among Sub-Saharan Africa and MENA Equity Markets." It includes data sources, preprocessing steps, and methodology, along with the necessary R code and data files. Data Description Returns Data: File: datareturn.xlsx Content: Daily return data for various equity markets in Sub-Saharan Africa and MENA regions. Volatility Data: File: vola.xlsx Content: Daily volatility data for various equity markets in Sub-Saharan Africa and MENA regions. Methodology Data Preprocessing: Ensure the dates in both datasets are aligned. Handle any missing data by appropriate imputation or removal techniques. Normalize the datasets if required. Risk Spillover Analysis: Utilize VAR (Vector Autoregressive) models to analyze the interconnectedness between markets. Compute spillover indices to quantify the extent of risk transmission between markets. Connectedness Measures: Use methodologies such as Diebold-Yilmaz (2009) to measure the connectedness and spillovers among the markets. Calculate directional spillovers to understand the flow of risk from one market to another.
Files
Steps to reproduce
1.1. Data Description 1.2. Returns Data: 1.3. File: datareturn.xlsx 1.4. Content: Daily return data for various equity markets in Sub-Saharan Africa and MENA regions. 2. Volatility Data: 2.1. File: vola.xlsx 2.2. Content: Daily volatility data for various equity markets in Sub-Saharan Africa and MENA regions. 3. Methodology 3.1. Data Preprocessing: 3.2. Ensure the dates in both datasets are aligned. 3.3. Handle any missing data by appropriate imputation or removal techniques. 3.4. Normalize the datasets if required 4. Risk Spillover Analysis: 4.1. Utilize VAR (Vector Autoregressive) models to analyze market interconnectedness. 4.2. Compute spillover indices to quantify the extent of risk transmission between markets. 5. Connectedness Measures: 5.1. Use methodologies such as Diebold-Yilmaz (2009) to measure the market connectedness and spillovers. 5.2. Calculate directional spillovers to understand the flow of risk from one market to another.