Volatility transmission between money and stock markets: Evidence from a developing financial market
Open accessAbstract
The direction and intensity of volatility transmission between the money and stock markets are important for portfolio selection and diversification, optimal hedging strategy, financial market regulation, and risk management. The purpose of this paper therefore is to examine the nature of volatility transmission between money and stock markets in a developing economy using Nigeria data. The results of the bivariate BEKK-GARCH (1,1) model show strong evidence of ARCH and GARCH effects for both the money and stock markets returns. The results also suggest unidirectional shock transmission from the stock market to the money but not otherwise. Further, the results indicate evidence of a unidirectional volatility transmission from the stock market to the money market. The findings of this study have implications for portfolio selection and diversification as well as financial market regulation.
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Ali, P. (2022) · AFRE (Accounting and Financial Review) · doi:10.26905/afr.v5i1.7547 · Cited by 1 · see citing works
- Authors
- Emenike, K. O.
- Affiliations
- Rhema University (NG)
- Corresponding author
- Emenike, Kalu O.
- ORCID
- Emenike, Kalu O.
- Venue
- Journal of Economic and Financial Sciences
- Publisher
- AOSIS
- Published
- 2017-12-18
- Volume
- 9
- Issue
- 1
- Pages
- 244-255
- ISSN
- 1995-7076 (ISSN-L)
- 2312-2803
- OpenAlex
- W2531685246
- Cited by
- 2
- References
- 0
- Citations by year
- 2022: 1 · 2018: 1
- FWCI
- 0.40
- Type
- journal article
- Language
- en
- Open access
- gold
- doi.org
- Locations
- Journal of Economic and Financial Sciences (publishedVersion, cc-by)
- DOAJ (DOAJ: Directory of Open Access Journals) (submittedVersion)
- Topics
- Social Sciences › Economics, Econometrics and Finance › Finance › Financial Risk and Volatility Modeling
- Social Sciences › Economics, Econometrics and Finance › Economics and Econometrics › Market Dynamics and Volatility
- Social Sciences › Economics, Econometrics and Finance › General Economics, Econometrics and Finance › Monetary Policy and Economic Impact
- Keywords
- volatility spillovers, money market, stock market, Nigeria, portfolio diversification, financial market regulation, risk management
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