Market Slumps and Innovative Spillover Strategies Between S&P 500 and Islamic African Equity Markets
Fresh Insights from Crisis
Bibliographic Data
| ID | 21737626 |
|---|---|
| Authors | Ibtissem Missaoui (0000-0002-1548-9094, University of Sousse, corresponding author), Waheed Ullah Shah (0000-0002-9432-5177, Shandong Normal University), Muhammad Imran (0000-0002-9633-1925, Qilu University of Technology), Aymen Ben Rejeb (0000-0001-6336-2461, University of Sousse), Abdulrasheed Zakari (0000-0001-5252-6977, University of Wollongong) |
| Year | 2025 |
| Pages | 1-28 |
| Publication date | 2025-12-14 |
| Peer Reviewed | Yes |
| Open Access | No |
| Type | ARTICLE |
| Venue | Journal of African Business (JOURNAL) |
| Journal identifiers | ISSN: 1522-8916 • E-ISSN: 1522-9076 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1080/15228916.2025.2598489 |
| OpenAlex | W7115185832 |
| Language | EN |
| References cited | 87 |
This study employs a Time-Varying Parameter Vector Autoregression (TVP-VAR) connectedness approach to examine the dynamic spillovers and connectedness among the S&P 500 index, Dow Jones Islamic Market indices, and Islamic African equity markets (Egypt, Morocco, Nigeria, and Tunisia) during the COVID-19 pandemic and the Russia–Ukraine conflict. Our findings reveal varying degrees of connectedness among these markets during different crisis episodes. During COVID-19, Tunisia emerged as a primary receiver of volatility spillovers, while the S&P 500, Islamic Dow Jones World Markets (DJISWM), Morocco, and Egypt acted as major transmitters. In contrast, the Russia–Ukraine war exhibited stronger overall connectedness, with Egypt and Morocco shifting to receivers and other markets transitioning to transmitters. Notably, the S&P 500 index also becomes a receiver of volatility spillovers during geopolitical conflicts, reflecting its evolving role in global financial dynamics. This study offers novel insights into the resilience of Islamic financial markets during crises and provides practical implications for investors seeking diversification and policymakers aiming to strengthen market stability during global uncertainties
Emerging markets · Islam · Spillover effect · Economic Growth and Development · Islamic Finance and Banking Studies · Microfinance and Financial Inclusion
Generalized impulse response analysis in linear multivariate models
Impulse response analysis in nonlinear multivariate models
How did African stock markets react to the Russia-Ukraine crisis “black-swan” event? Empirical insights from event study
Connectedness between Defi assets and equity markets during Covid-19
Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets
| Citation velocity | historical |
|---|---|
| Highly cited | No |