Keywords
Volatility, Transmission, Equity, Markets, Nigeria, Africa, World
Abstract
I examine the extent of volatility transmission, spill-over and contagion among Nigeria, some selected African and world equity markets. Empirical findings indicate the presence of volatility transmission and spill-over among the Nigerian and world equity markets. However, for the Nigerian and African markets, the results show that there is volatility transmission, but no evidence of volatility spill-over. The results were not statistically significant enough to prove the existence of volatility contagion among all the African markets, arising from the recent global financial crisis.
Recommended Citation
Joseph, Idolor Eseoghene Ph.D.
(2020)
"Volatility Transmission Among Nigeria, Some Selected African and World Equity Markets,"
International Review of Business and Economics: Vol. 4:
Iss.
1, Article 6.