•  
  •  
 

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.

Share

COinS