Connectedness and risk spillovers among sub-Saharan Africa and MENA equity markets

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.