This paper focuses on two key questions: How are Africa’s emerging stock markets related to advance stock markets? Do extreme price movement in advanced stock markets have an impact on African stock markets? The importance of this work stems from the fact that the nature of dependence across stock returns plays a crucial role in asset pricing, portfolio allocation and policy formulation. Investment practitioners pay close attention to the co-movement between equity markets, as a proper grasp of its nature and measurement affects the risk-return trade-off from international diversification; typically, international portfolio diversification becomes less effective when markets are in turmoil. Policy makers, on the other hand, are more interested in how strong linkage across stock markets influences the transmission of shocks, its consequences as well as implications for risk management.