EXAMINING THE CONDITIONAL CORRELATIONS BETWEEN OIL PRICES AND SECTORAL STOCKS IN NIGERIA
Ucherwuhe Samuel Igbabee, Tyona Timothy and Ikya Emmanuel Agbe
Volume 10 Issue 1
Abstract
This study examined the conditional correlation between oil and stock prices in Nigeria using a high frequency disaggregated data on the variables. The Engle-Shepherd Chi-square test favoured the constant conditional correlation CCC-GARCH model that was used. Results reveal low conditional correlation coefficients between oil and the stock sectors. The study recommends among others for investors to consider investing in both assets for potential gains. Keywords: Conditional, Correlations, Stocks, Oil Prices.
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