Sector Level Contagion in African Financial Markets

Most empirical research on contagion in financial markets neglects smaller, frontier markets like those found in Africa. In this paper, contagion is measured on sector-by-sector basis for six African equity markets. Although evidence of coontagion ispresent in both the Asian and Russian crises, contagion is not found to be widespread in African markets. Egypt and South Africa, two of the largest and oldest markets in Africa, show the most signs of contagion, although only in a minority of sectors. Comparing these sector level results with market level analysis provides insight into the sectors that influence the market level findings.