Measuring Return and Volatility Spillovers among Sectoral Stocks in Nigeria

Ismail Olaleke Fasanya Oluwatomisin Oyewole Taofeek Agbatogun
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Ismail Olaleke Fasanya Oluwatomisin Oyewole Taofeek Agbatogun: Department of Economics, Augustine University, Lagos, Nigeria. Department of Economics, Federal University of Agriculture, Abeokuta. Department of Economics, Federal University of Agriculture, Abeokuta.
Authors registered in the RePEc Author Service: Taofeek Osidero Agbatogun, Ismail olaleke fasanya and Oluwatomisin Jesudurotimi Oyewole

Zagreb International Review of Economics and Business, 2019, vol. 22, issue 2, 71-94

Abstract: This paper examines the return and volatility spillovers of different sectoral stock prices in Nigeria using monthly data from January 2007 to December 2016. We employ the Diebold and Yilmaz (2012) spillover approach and rolling sample analysis to capture the inherent secular and cyclical movements in the sector stocks market.We show that there is substantial difference between the behaviour of the sectoral stock return and volatility spillover indices over time. We find evidence of interdependence among sector stocks given the spillover indices. While the return spillover index reveals increased integration among the sectoral stocks, the volatility spillover index experiences significant bursts during major market crises. Interestingly, return and volatility spillovers exhibit both trends and bursts respectively. JEL Classification: C32, C67, G12

Keywords: Stocks; Returns, Volatilities, Vector autoregression, Forecast error variance, Spillover (search for similar items in EconPapers)
Date: 2019
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DOI: 10.2478/zireb-2019-0021

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