Handbook of Frontier Markets

Chapter 6

Financial Contagion From US to African Frontier Markets During the 2007–09 Global Financial Crisis

J. Ahmadu-Bello

T. Rodgers    School of Economics, Finance and Accounting, University of Coventry, Coventry, United Kingdom

Abstract

This chapter investigates financial contagion from the United States to eight African frontier markets during the 2007–09 financial crisis using a dynamic conditional correlation-based methodology. The crisis is explored from the perspectives of it being, first, a single long-period event and, second, a series of cumulative short-period subevents. For comparative purposes, contagion from the United States to a set of seven developed markets is also examined. We find strong evidence of contagion in African frontier ...