Using daily exchange rate data from February 02, 2000 to September 25, 2019, this paper examines the world connectedness of African currencies markets by analyzing return and volatility spillovers from the currencies of developed and emerging markets to African currencies. The study also investigates spillovers among African currencies. The empirical findings reveal that African currencies are more responsive to their own-.variable market than to regional and/or global return and volatility spillovers. The only exceptions are BWP, MAD, TND, and ZAR that are found to be integrated with other currencies, with significant meteor showers for both return and volatility.

本文使用2000年2月2日至2019年9月25日的每日汇率数据，通过分析从发达市场和新兴市场货币到非洲货币的收益和波幅溢出来检验非洲货币市场的世界连通性。该研究还调查了非洲货币之间的溢出效应。实证结果表明，非洲货币对自己的可变市场的反应要比对区域和/或全球收益和波动性溢出的反应更快。唯一的例外是BWP，MAD，TND和ZAR，它们被发现与其他货币结合在一起，对于返回率和波动率来说，流星雨很大。