Volatility Transfer from Developed Countries to Emerging Markets: Evidence from Nigeria
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Date
2013
Authors
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Journal ISSN
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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
Keywords
Global Financial Crisis,, Bourses,, Contagion,, GARCH,, Meltdown,, OLSE,, Volatility Spillover,, Volatility Transfer