SHOCK AND VOLATILITY SPILLOVER BETWEEN OIL PRICES AND SECTORAL STOCKS IN NIGERIA
Tyona Timothy, Ilemona Adofu and Joseph Okwori
Volume 3 Issue 2
Abstract
The study examined the stock and volatility spillover between oil prices and sector-specific stock prices in Nigeria with the objective of uncovering shock and volatility spillover effects. The study adopted the CCC-VARMA GARCH methodology of McAleer et al (2003, 2009), where findings indicate sufficient ARCH & GARCH effects between oil and the sectors. Additionally, the study observe short and long term volatility spillover effects between oil and most of the sectors. The study recommends among others for investors, fund managers, portfolio managers to factor into their decision making, immediate past shock and volatility of the series as this will help in portfolio allocation and management in the presence of oil price risk. Keywords: Spillover, Shock, volatility, GARCH.
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