The flow of information between markets is important to guide investors and policymakers in the effective allocation of assets and proactive market regulation, respectively. This study examines the impact of information flow from global financial market stress on the African stock markets using the daily US financial stress index (USFSI) and other advanced economies\' financial stress index (OAEFSI) to proxy the global financial stress index. To understand the information flow dynamics across various investment horizons, the ensemble empirical mode decomposition (EEMD)-based transfer entropy is employed. Our findings reveal that African equity markets are highly risky for information flow from global financial market stress. However, we identify diversification prospects based on market conditions for Ghana and Egypt in the short term and Tanzania, Cote D\'Ivoire, and Egypt in the medium term. Empirical results also show that the information flow from global financial stress to African stock markets depends on time scales, economic relations, and the state of global financial markets. The findings are important for investors, portfolio managers, practitioners, and policymakers.

This study examined the contagion and structural break between Nigerian Stock Exchange Market (NSE) and some selected stock markets, namely: Ghana, South Africa (SA), Tunisia, and the United States. Two periods were considered: the crisis period (1st May 2016 to 31st December 2017) and the calm period (1st January 2018 to 31st December 2019). Following the work of (Chan, J., Fry-McKibbin, R. & Hsiao C. (2018). A Regime switching skew-normal model of contagion. Studies in Nonlinear Dynamics and Econometrics, Volume 23, Issue 1), the study used the Regime Switching Skew-Normal (RSSN) model which is capable of measuring contagion and structural breaks between markets. Our results indicated evidence of a structural break between the crisis and calm periods, which is a prerequisite for contagion. Furthermore, the study found a moderate contagion between Nigeria and SA stock markets but an absence of contagion between Nigeria and the remaining stock markets, suggesting capital flights from Nigeria to SA for safety during the 2016 economic recession. However, we were unable to find any evidence of capital reversal to Nigeria from SA during the calm period, implying an existence of an asymmetric relationship between Nigeria and South African stock markets. The absence of contagion between Nigeria and the selected African stock markets, suggests there is no significant economic cooperation and cross-border portfolio investment flow among the countries. This development further underpins the imperativeness of the full implementation of the African Continental Free Trade Agreement (AfCFTA), which encourages economic activities and investment flow on the continent.