Quantile Connectedness Between African Stock Markets and Quadruple Policy Uncertainty: Regime-Dependent Spillovers Across Geopolitical, Oil, Energy, and Climate Risks

<title>Abstract</title> <p>This study investigates the time-varying connectedness between seven major African stock markets and a quadruple structure of global policy uncertainties: Geopolitical Risk (GPR), Oil Price Uncertainty (OPU), Energy Policy Uncertainty (EPU), and Climate Policy Uncertainty (CPU), spanning from January 2007 to February 2024. Employing Quantile Vector Autoregression (QVAR) and R²-based decomposed connectedness models, the research captures spillover dynamics across bearish, normal, and bullish market regimes, while distinguishing between contemporaneous and lagged transmission channels. Findings reveal that African equity markets are deeply integrated into the global uncertainty network, with connectedness intensifying during crisis periods. Notably, GPR and OPU act as dominant shock transmitters, especially in bullish and contemporaneous regimes, whereas CPU and EPU function primarily as lagged and regime-dependent receivers. Across regimes, markets such as the Nairobi Securities Exchange (NSE), Dar es Salaam Stock Exchange (DSE), and Casablanca Stock Exchange (CSE) emerge as dominant net transmitters, while global uncertainty indices, particularly Geopolitical Risk (GPR) and Climate Policy Uncertainty (CPU), are persistent net receivers. Egypt (EGX) exhibits consistent vulnerability as a net receiver of equity shocks across all regimes. The study underscores the asymmetric and regime-sensitive nature of uncertainty spillovers, providing critical insights for macroprudential regulation, portfolio risk management, and policy formulation aimed at enhancing African market resilience amid growing global uncertainties.</p>