Stock Market Linkage, Financial Contagion and Assets Price Movements: Evidence from Nigerian Stock Exchange
Shafiu Abdullahi ()
MPRA Paper from University Library of Munich, Germany
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.
Keywords: Integration; Linkage; Contagion; Portfolio; Cointegration; Impulse response; Comovement; Stock markets; International finance (search for similar items in EconPapers)
JEL-codes: F3 F36 G12 G15 (search for similar items in EconPapers)
Date: 2017-10, Revised 2017-11
New Economics Papers: this item is included in nep-afr
References: View references in EconPapers View complete reference list from CitEc
Citations:
Downloads: (external link)
https://mpra.ub.uni-muenchen.de/83455/1/MPRA_paper_83455.pdf original version (application/pdf)
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:pra:mprapa:83455
Access Statistics for this paper
More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().