Dynamic spillovers between Nigerian, South African and international equity markets
Babajide Fowowe and
International Economics, 2016, vol. 148, issue C, 59-80
This paper examines the dynamic interdependence and extent of integration between South African, Nigerian and international equity markets. The study made use of a new methodology for computing spillovers within and between markets, which utilizes a generalized VAR framework that produces forecast error variance decompositions and also accounts for correlated shocks using historically observed distribution of the errors. The empirical results revealed that return and volatility spillovers between the Nigerian and South African markets and major international equity markets are substantial when markets from various regions are considered together. For the regional analysis, it was found that the Nigerian and South African markets have greater interdependencies with Asian markets than with European markets. The results also showed that the South African market is more integrated with international markets than the Nigerian market. A crucial finding is that the lowest spillover index recorded was between the Nigerian and South African markets. This does not bode well for African integration and suggests that more efforts need to be channeled towards enhancing financial integration within Africa.
Keywords: Stock return; Volatility transmission; Spillovers; Variance decomposition (search for similar items in EconPapers)
JEL-codes: G15 C32 F36 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
Journal Article: Dynamic spillovers between Nigerian, South African and international equity markets (2016)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:inteco:v:148:y:2016:i:c:p:59-80
Access Statistics for this article
International Economics is currently edited by Valerie Mignon and Marcelo Olarreaga
More articles in International Economics from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().