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

Kazeem Isah

No 19, Working Papers from 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.

Keywords: Return-Spillover; Shock-Spillover; Shock-Persistence; VARMA-CCC-GARCH (search for similar items in EconPapers)
Pages: 28 pages
Date: 2017-08
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