Measuring Return and Volatility Spillovers among Sectoral Stocks in Nigeria

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...

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Bibliographic Details
Main Authors: Fasanya Ismail Olaleke, Oyewole Oluwatomisin, Agbatogun Taofeek
Format: Article
Language:English
Published: Sciendo 2019-11-01
Series:Zagreb International Review of Economics and Business
Subjects:
c32
c67
g12
Online Access:https://doi.org/10.2478/zireb-2019-0021
Description
Summary: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.
ISSN:1849-1162