Stock Market Linkage Financial Contagion and Assets Price Movements Evidence from Nigerian Stock Exchange

Shafiu Abdullahi ()

Journal of Advanced Studies in Finance, 2017, vol. 8, issue 2, 146-159

Abstract: This paper studied portfolio investments diversification stock market linkage and negative integration in Nigerian stock exchange Like many other stock exchanges around the world Nigerian stock exchange was devastated by the global financial crisis of 2008 That single crisis has changed the mode of operations of the market by affecting market capitalisation efficiency and profit Ten stock market indices are involved in this study where the aim is to find out how Nigerian stock markets relate with counterparts around the world The study covered the period from September 2009 to August 2016 The study used Generalised Impulse response function Engel Granger cointegration and Johansen cointegration analysis to measure integration between Nigerian stock exchange and selection of nine stock exchanges around the world The results from cointegration analysis show lack of cointegration This means despite globalisation Nigerian stock exchange is less integrated with the rest of the stock markets providing ample opportunities for portfolio diversification This also further support previous studies that found out that developed countries stock markets tend to correlate with their developed countries counterparts than emerging and developing markets

Date: 2017
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Working Paper: Stock Market Linkage, Financial Contagion and Assets Price Movements: Evidence from Nigerian Stock Exchange (2017)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:srs:jasf00:v:8:y:2017:i:2:p:146-159

Access Statistics for this article

Journal of Advanced Studies in Finance is currently edited by Laura GAVRILĂ (formerly Ştefănescu)

More articles in Journal of Advanced Studies in Finance from ASERS Publishing
Bibliographic data for series maintained by Claudiu Popirlan ( this e-mail address is bad, please contact ).