Affordable Access

Access to the full text

Measuring Return and Volatility Spillovers among Sectoral Stocks in Nigeria

Authors
  • Fasanya, Ismail Olaleke1
  • Oyewole, Oluwatomisin2
  • Agbatogun, Taofeek2
  • 1 Augustine University, Nigeria , (Nigeria)
  • 2 Federal University of Agriculture , (Nigeria)
Type
Published Article
Journal
Zagreb International Review of Economics and Business
Publisher
Sciendo
Publication Date
Nov 01, 2019
Volume
22
Issue
2
Pages
71–93
Identifiers
DOI: 10.2478/zireb-2019-0021
Source
De Gruyter
Keywords
License
Green

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.

Report this publication

Statistics

Seen <100 times