ARTÍCULO
TITULO

Dynamic spillovers between stock and money markets in Nigeria: A VARMA-GARCH approach

Afees A. Salisu    
Kazeem O. Isah    
Alberto Assandri    

Resumen

This study examines probable dynamic spillover transmissions between the Nigerian stock and money markets using the multivariate volatility framework that simultaneously accounts for both returns and shock spillovers. Based on relevant pre-tests, the VARMA-CCC-GARCH framework is selected and consequently employed to model the spillovers. The study finds significant cross-market return and shock spillovers between the two markets. Thus, a shock to one market is more likely to spill over to the other market. It is also observed that shocks have persistent effects on stock market volatility but transitory effects on money market volatility. In other words, shocks to the money market die out over time while shocks to stock market tend to persist over time. In addition, including lagged own shocks and lagged own conditional variance when forecasting the future volatility of both return series may enhance their forecast performance. An alternative approach proposed by Diebold and Yilmaz (2012) is also employed for robustness and the results are consistent with those obtained from the VARMA-CCC-GARCH model.

 Artículos similares

       
 
Pardis Alsadat Seyedmashhadi, Sayyed Abdolmajid Jalaee, Mehdi Nejati, Mohsen Zayandehroodi     Pág. 21 - 36
Opening doors of the economy and moving toward the globalization process increase business transactions, capital mobility and at the same time economies of scale and technology transfer. Naturally, risk spillovers are occurred along with business transac... ver más

 
Chia-Lin Chang, Michael McAleer and Chien-Hsun Wang    
It is well known that there is an intrinsic link between the financial and energy sectors, which can be analysed through their spillover effects, which are measures of how the shocks to returns in different assets affect each other?s subsequent volatilit... ver más

 
Said Zamin Shah,Ahmad Zubaidi Baharumshah,Muzafar Shah Habibullah,Law Siong Hook     Pág. 377 - 386
This study examines an empirical analysis of the causal links and volatility spillovers between inflation, output growth and their uncertainties in Bangladesh by utilizing the AR(p)-EGARCH model for the period 1993-2014. The study shows that EGARCH versi... ver más

 
Malgorzata RUNIEWICZ-WARDYN     Pág. 13 - 31
The paper investigates the role of dynamic externalities, university-industry linkages and role of social networking in the biotechnology industry in the European Union (EU). Universities act as platforms for local knowledge spillovers and university-ind... ver más