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Analysis of the Transmission of Oil Price Volatility to ECOWAS Stock Markets: An MSGARCH and GARCH BEKK Approach

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  • Prao Yao Séraphin
  • Mounoufie Koffi Valery

Abstract

This research aims to examine the transmission of oil price volatility to ECOWAS stock markets between November 3, 2017, and June 16, 2022, utilising daily data from the three major financial markets. To do this, we used the MSGARCH and GARCH BEKK models. The study concluded that oil returns and ECOWAS financial market results are volatile. Furthermore, the volatility of oil returns is considerably communicated to the returns of the BRVM, GSE, and NSE before and after the COVID-19 crisis, with the NSE showing a larger amplitude. The paper advises accelerating the integration of the zone’s financial markets and establishing a stabilisation fund.

Suggested Citation

  • Prao Yao Séraphin & Mounoufie Koffi Valery, 2024. "Analysis of the Transmission of Oil Price Volatility to ECOWAS Stock Markets: An MSGARCH and GARCH BEKK Approach," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 16(11), pages 1-1, November.
    • Handle: RePEc:ibn:ijefaa:v:16:y:2024:i:11:p:1
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    References listed on IDEAS

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    3. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-1072, June.
    4. French, Kenneth R., 1980. "Stock returns and the weekend effect," Journal of Financial Economics, Elsevier, vol. 8(1), pages 55-69, March.
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    More about this item

    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

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