Modeling the spillovers between stock market and money market in Nigeria

Afees Salisu and Kazeem Isah

No 23, Working Papers from Centre for Econometric and Allied Research, University of Ibadan

Abstract: This study examines the spillovers between stock market and money market in Nigeria over the period January 2000 to July 2015. Based on relevant pre-tests, the VARMA-CCC-GARCH is selected and consequently employed to model the spillovers. The study finds significant cross-market return and shock spillovers between the two markets. Thus, a shock to one market is more likely to spill over to the other market. It is also observed that shocks have persistent effects on stock market volatility but transitory effects on money market volatility. In other words, shocks to the money market die out over time while shocks to stock market tend to persist over time. In addition, including lagged own shocks and lagged own conditional variance when forecasting the future volatility of both return series may enhance their forecast performance.

Keywords: Return Spillover; Shock Spillover; Shork Persistence; VARMA-CCC-GARCH (search for similar items in EconPapers)
JEL-codes: C58 G10 (search for similar items in EconPapers)
Pages: 30 pages
Date: 2017-08
New Economics Papers: this item is included in nep-afr, nep-for and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://cear.org.ng/index.php?option=com_docman&tas ... oad&gid=60&Itemid=29 (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://cear.org.ng/index.php?option=com_docman&task=doc_download&gid=60&Itemid=29 [301 Moved Permanently]--> https://cear.org.ng/index.php?option=com_docman&task=doc_download&gid=60&Itemid=29)

Related works:
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:cui:wpaper:0023

Access Statistics for this paper

More papers in Working Papers from Centre for Econometric and Allied Research, University of Ibadan Contact information at EDIRC.
Bibliographic data for series maintained by Adeoye Omosebi ( this e-mail address is bad, please contact ).