 Crude oil market and Nigerian stocks: An asymmetric information spillover approachDavid Okorie and Boqiang Lin () International Journal of Finance & Economics, 2022, vol. 27, issue 4, 4002-4017 Abstract: This article examines the nature of information spillovers, in return and volatility, that exists between the full index stock of the Nigerian stock exchange (NSE) and the crude oil markets (Brent and West Texas Intermediate (WTI) oil markets). We adopted the asymmetric VAR − MGARCH − GJR − BEKK model and found evidence of unidirectional return spillover from the Brent oil market to the NSE and a bidirectional return spillover between the NSE market and the WTI oil market. The response of the WTI market to a shock on the NSE market is rather short‐lived. There exists strong evidence of a lead–lag relationship between the crude oil market and the NSE market wherein the crude oil market leads or drives the NSE market return fluctuations. For both crude oil markets, the Brent and the WTI markets, there exists a bidirectional volatility spillover between the NSE index and the crude oil markets, as well as significant asymmetric shocks. Practical policy implications and recommendations were made, based on the findings. Date: 2022 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:wly:ijfiec:v:27:y:2022:i:4:p:4002-4017 Ordering information: This journal article can be ordered from Access Statistics for this article International Journal of Finance & Economics is currently edited by Mark P. Taylor, Keith Cuthbertson and Michael P. Dooley More articles in International Journal of Finance & Economics from John Wiley & Sons, Ltd. |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.