Please use this identifier to cite or link to this item: http://repository.elizadeuniversity.edu.ng/jspui/handle/20.500.12398/960
Title: Volatility Transfer from Developed Countries to Emerging Markets: Evidence from Nigeria
Authors: Oke, B. O
OBADEYI, J. A.
Unuafe, O. K.
Keywords: Global Financial Crisis,
Bourses,
Contagion,
GARCH,
Meltdown,
OLSE,
Volatility Spillover,
Volatility Transfer
Issue Date: 2013
Publisher: European Journal of Business and Management
Abstract: In this paper, we examine the existence of volatility transfer from stock exchanges of 5 major developed economies of USA (NYSE), Canada (S&PTSX), France (CAC) Germany (DAX) and UK (FTSE) to the Nigerian Stock Exchange (NSE). To ascertain the relationship between these five bourses and the NSE, we employ the Ordinary Least Square Estimation (OLSE) technique. Moreover, we use the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model to determine the existence or otherwise of volatility transfer from these five advanced bourses to the NSE. The results of this study confirm the existence of volatility transfer from the NYSE, S&PTSX, CAC, DAX and FTSE to the NSE from January 1st January 2006 to 15th March 2010. Following from this, it behooves on policy makers in Nigeria to pay particular attention to events in these bourses and in these economies and proactively take prompt actions when necessary.
Description: Staff Publication
URI: http://repository.elizadeuniversity.edu.ng/jspui/handle/20.500.12398/960
ISSN: 2222-2839
Appears in Collections:Research Articles

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