International records / OpenAlex research

Volatility transmission in the Nigerian financial market

This paper examines the return and volatility spillovers in the Nigerian Financial market. We specifically analyse the spillovers in the capital market, money market and foreign exchange market utilizing monthly data for the period January 2002 to June 2017. The paper employs the Diebold and Yilmaz (DY hereafter) (2009, 2012) approach to compute the total spillover, directional spillover, and net spillover indexes. We also consider the rolling window analyses to capture the secular and cyclical movement in the financial markets over the period of consideration. The paper observes weak degree o…