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.