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Econometric Analyses of Return and Shock Spillovers: The case of Nigerian Financial Markets

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  • Kazeem Isah

    (Centre for Econometric and Allied Research, University of Ibadan)

Abstract

The study give a new perspective to the interrelationship between/ or among the Nigerian financial markets namely stock, bond and FX markets by determine whether the conditional volatility spillovers across the three markets is constant or dynamic in nature. Using daily financial data set for the period 2011 to July 2014, we model return and shock spillovers via VARMA-CCC-GARCH model after careful considerations of relevant tests and model selection criteria. Finding from our empirical estimate shows that return in one market is significantly sensitive to returns in the other markets. More so, the individual market (i.e. stock, bond and FX) appears to be significantly vulnerable to cross-market shock spillovers.

Suggested Citation

  • Kazeem Isah, 2017. "Econometric Analyses of Return and Shock Spillovers: The case of Nigerian Financial Markets," Working Papers 0019, Centre for Econometric and Allied Research, University of Ibadan.
    • Handle: RePEc:cui:wpaper:0019
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