<abstract xmlns="http://www.w3.org/1999/xhtml"><p>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.</p></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.

Measuring Return and Volatility Spillovers among Sectoral Stocks in Nigeria

Zagreb International Review of Economics and Business

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

{"article-title":"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....

Measuring Return and Volatility Spillovers among Sectoral Stocks in Nigeria

Pubblicato online: 16 dic 2019

Pagine: 71 - 93

DOI: https://doi.org/10.2478/zireb-2019-0021

Parole chiave
Stocks, Returns, Volatilities, Vector autoregression, Forecast error variance, Spillover

© 2019 Ismail Olaleke Fasanya et al., published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

Measuring Return and Volatility Spillovers among Sectoral Stocks in Nigeria

Pubblicato online: 16 dic 2019

Pagine: 71 - 93

DOI: https://doi.org/10.2478/zireb-2019-0021

Parole chiaveStocks, Returns, Volatilities, Vector autoregression, Forecast error variance, Spillover

© 2019 Ismail Olaleke Fasanya et al., published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

Parole chiave
Stocks, Returns, Volatilities, Vector autoregression, Forecast error variance, Spillover