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Measuring Return and Volatility Spillovers among Sectoral Stocks in Nigeria

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  • Ismail Olaleke Fasanya Oluwatomisin Oyewole Taofeek Agbatogun

    (Department of Economics, Augustine University, Lagos, Nigeria. Department of Economics, Federal University of Agriculture, Abeokuta. Department of Economics, Federal University of Agriculture, Abeokuta.)

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. JEL Classification: C32, C67, G12

Suggested Citation

  • Ismail Olaleke Fasanya Oluwatomisin Oyewole Taofeek Agbatogun, 2019. "Measuring Return and Volatility Spillovers among Sectoral Stocks in Nigeria," Zagreb International Review of Economics and Business, Faculty of Economics and Business, University of Zagreb, vol. 22(2), pages 71-94, November.
    • Handle: RePEc:zag:zirebs:v:22:y:2019:i:2:p:71-94
    DOI: 10.2478/zireb-2019-0021
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    More about this item

    Keywords

    Stocks; Returns; Volatilities; Vector autoregression; Forecast error variance; Spillover;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C67 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Input-Output Models
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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