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...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Sciendo
2019-11-01
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| Series: | Zagreb International Review of Economics and Business |
| Subjects: | |
| Online Access: | https://doi.org/10.2478/zireb-2019-0021 |