Data and code for: Investor Herding and Spillovers in African Debt Markets.

Using high-frequency data for sovereign long-term bond yields and 5-year CDS spreads, we estimate a regression model to identify a non-linear link between cross-section deviation of market yield and extreme movements in African markets and other regions. Results indicate that African sovereign bonds have been subject to herding. International investors tend to lump African sovereign bonds into one asset class, pricing risk based on regional market performance instead of on individual countries' performance. Moreover, we find evidence of herding spillovers from other regions. Africa is the most vulnerable of developing regions to shifts in market sentiment.