The present paper investigates African stock markets' linkages by considering stocks in the
continent's largest economies, specifically Egypt, Kenya, Morocco, Nigeria, South Africa, and
Tunisia. Using a dataset that spanned November 25, 2008, to September 18, 2023, the
quantile connectedness approach of Chatziantoniou et al.(2021) is employed, and the
results unfold these interesting dynamics of African market connectivity:(i) In the bearish
market phase, South African stock dominated the entire network, transmitting shocks to the …