Modelling sustainable market co-movement between Nigeria (NSE) and South Africa stock markets (JSE)

Ebere Ume Kalu, Augustine C. Arize, Kishor Kumar Guru-Gharana and Ndubuisi Udemezue

World Review of Entrepreneurship, Management and Sustainable Development, 2024, vol. 20, issue 2, 235-255

Abstract: This study evaluates the co-movement and volatility transmission between the two leading stock exchanges in Africa - the JSE and the NSE. The study is motivated by the need to establish the linkage between the two leading stock markets in Africa for the imperatives of sustainable development and provision of funding for diverse entrepreneurial endeavours in the studied economies. The study used weekly return series from January 2006 (week 1) to December 2020 (week 3) of the Johannesburg Stock Market (JSE) and the Nigerian Stock Exchange (NSE) and adopted the BEKK variant of the multivariate Generalised Autoregressive Conditional Heteroscedasticity (GARCH) family model. The study majorly discovered that sustained co-movement between the two markets happen more at periods of economic stability than what obtains during crises periods. It is recommended that greater interconnectedness between the JSE and NSE should be created while building safety net for adverse news or shock transfers. This is for the imperatives of entrepreneurial development by sustained funding through deliberate stock market based intermediation not just for the benefits of the investigated stock markets but for the whole of the African region.

Keywords: GARCH; BEKK model; stock market volatility; JSE; NSE. (search for similar items in EconPapers)
Date: 2024
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