Abstract
M.Comm.
The focus of this paper is on volatility dynamics in five African stock markets. Special emphasis is
placed on five crisis periods that occur between 1 January 1997 and 22 October 2010. Rollingwindow
bivariate diagonal-BEKK GARCH models are run between the African markets and
markets taken as the sources of the crises from the start of the 14-year period until its end. It is
found that while African volatility is persistent and volatility linkages exist between the five markets
and the overseas markets, some of the effects of the crises are dominated by non-crisis period
volatility dynamics and spillovers as well as domestic influences. This is especially the case for
volatility persistence, unconditional volatility and the own- and cross-GARCH effects. The crisis
that has the strongest impact on the volatility of the five African markets is the Credit Crisis, thus
not providing support for the theory of emerging markets “decoupling” from the U.S.