Data and code for: Investor Herding and Spillovers in African Debt Markets.

Principal Investigator(s): View help for Principal Investigator(s) Hanan Morsy, African Development Bank; Eman Moustafa, African Development Bank; Tiguene Nabassaga, African Development Bank; Mustafa Yenice, African Development Bank

Version: View help for Version V1

Name	File Type	Size	Last Modified
Figure1.gph	application/vnd.flographit	98.1 KB	04/09/2021 04:03:AM
Herding_asia_T3_cds.csv	text/csv	1.8 KB	04/09/2021 04:03:AM
Herding_asia_T4_yield.csv	text/csv	1.8 KB	04/09/2021 04:03:AM
Herding_cds_T2_daily.csv	text/csv	1.8 KB	04/09/2021 04:03:AM
Herding_cds_T2_weekly.csv	text/csv	1.8 KB	04/09/2021 04:03:AM
Herding_euroing_T3_cds.csv	text/csv	1.8 KB	04/09/2021 04:03:AM
Herding_euroing_T4_yield.csv	text/csv	1.8 KB	04/09/2021 04:03:AM
Herding_latinam_T3_cds.csv	text/csv	1.8 KB	04/09/2021 04:03:AM
Herding_latinam_T4_yield.csv	text/csv	1.8 KB	04/09/2021 04:03:AM
Herding_yield_T1_daily.csv	text/csv	1.8 KB	04/09/2021 04:03:AM

Project Description

Summary: Using high-frequency data for sovereign long-term bond yields and 5-year CDS spreads, we estimate a regression model to identify a non-linear link between cross-section deviation of market yield and extreme movements in African markets and other regions. Results indicate that African sovereign bonds have been subject to herding. International investors tend to lump African sovereign bonds into one asset class, pricing risk based on regional market performance instead of on individual countries' performance. Moreover, we find evidence of herding spillovers from other regions. Africa is the most vulnerable of developing regions to shifts in market sentiment.

Scope of Project

Subject Terms: herding; spillover; contagion; CDS spreads; bond yields; sovereign risks; sovereign debt; africa

JEL Classification:
      F34 International Lending and Debt Problems
      G12 Asset Pricing; Trading Volume; Bond Interest Rates
      G14 Information and Market Efficiency; Event Studies; Insider Trading
      G15 International Financial Markets

Geographic Coverage: developed Europe, africa, latin america, asia, other developed economies, developing Europe

Methodology

Unit(s) of Observation: country

Related Publications

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Published Versions

V1 [2021-04-28]

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DDI 2.5

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