Volatility of stock market returns and the naira exchange rate

Tule, Moses K.; Dogo, Mela Yila; Uzonwanne, Godfrey

doi:10.1016/j.gfj.2017.08.001

Cited by 34 publications

(35 citation statements)

References 30 publications

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“…The results show that equity markets exhibit significant positive volatility spillover, except between FTSE 100 to N225. Tule et al (2018) investigate volatility spillovers between the stock market returns and exchange rate using the vector autoregressive moving average-asymmetric GARCH model. Also, significant positive volatility spillover from exchange rates to equity markets exists, except the Japanese yen against the U.S. dollar to N225.…”

Section: Literature Reviewmentioning

confidence: 99%

“…The results show that a rise in the U.S. dollar would reduce stock prices in BRICS countries and vice versa, which implies a large dependency on the U.S. dollar and the United States. Tule et al (2018) investigate volatility spillovers between the stock market returns and exchange rate using the vector autoregressive moving average-asymmetric GARCH model. The results show a stronger unidirectional transmission of shocks from the stock market to the exchange rate market without breakpoints.…”

Section: Literature Reviewmentioning

confidence: 99%

“…The development and integration of financial markets shall increase the relationship and volatility spillovers among financial markets. Speculative traders can influence transitory component of exchange rate volatility and the fundamental factors can influence permanent component of exchange rate volatility (Tule, Dogo, & Uzonwanne, 2018). The information of volatility spillovers across financial markets can improve market agents in assessing the risk of various financial products and helping them to develop hedging strategies (Ng, 2000;Yavasa & Dedi, 2016).…”

Section: Introductionmentioning

confidence: 99%

“…The balance sheet of firms and portfolios of investors would be affected. Speculative traders can influence transitory component of exchange rate volatility and the fundamental factors can influence permanent component of exchange rate volatility (Tule, Dogo, & Uzonwanne, 2018).…”

Section: Introductionmentioning

confidence: 99%

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Volatility spillovers between real exchange rate returns and real stock price returns in Malaysia

Wong

2018

Int. J Fin Econ

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This study analyses volatility spillovers between real exchange rate returns and real stock price returns in Malaysia. The component‐generalized autoregressive conditional heteroskedasticity model with asymmetric effect is used to decompose volatility into permanent or long‐run component and transitory or short‐run component. Permanent and transitory components of volatility are commonly high in the global financial crisis, 2008. The results of the seemingly unrelated regressions framework show that volatility spillovers of permanent component between real exchange rate returns and real stock price returns are stronger than volatility spillovers of transitory component between real exchange rate returns and real stock price returns. Moreover, volatility spillovers of permanent and transitory components between real Malaysian ringgit against the U.S. dollar return and real stock price returns are stronger than real Malaysian ringgit against the Japanese yen exchange rate return and real stock price returns. There is some evidence of Granger causality between real exchange rate returns and real stock price returns. On the whole, there is some evidence of the link between the exchange rate market and the stock market in Malaysia.

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Section: Literature Reviewmentioning

confidence: 99%

Section: Literature Reviewmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

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Volatility spillovers between real exchange rate returns and real stock price returns in Malaysia

Wong

2018

Int. J Fin Econ

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“…It is the limited nature and paucity of such work in existing literature that has spurred us to investigate the returns and volatility spillovers among sectoral stocks in Nigeria. Our choice of Nigeria is motivated by the fact that Nigeria is Africa's largest economy and her importance as an investment destination cannot be underestimated; policy makers must therefore develop an in depth understanding of returns and volatility spillovers among sectors in the Nigerian stock market to enable policy to focus closely on smoothing out the effects of shocks to the transmission channel (Kpughur et al, 2017).…”

Section: Introductionmentioning

confidence: 99%

Measuring Return and Volatility Spillovers among Sectoral Stocks in Nigeria

Fasanya¹,

Oyewole

Agbatogun

2019

Zagreb International Review of Economics and Business

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This paper examines the return and volatility spillovers of different sectoral stock prices in Nigeria using monthly data from January 2007 to December 2016. We employ the Diebold and Yilmaz (2012) spillover approach and rolling sample analysis to capture the inherent secular and cyclical movements in the sector stocks market.We show that there is substantial difference between the behaviour of the sectoral stock return and volatility spillover indices over time. We find evidence of interdependence among sector stocks given the spillover indices. While the return spillover index reveals increased integration among the sectoral stocks, the volatility spillover index experiences significant bursts during major market crises. Interestingly, return and volatility spillovers exhibit both trends and bursts respectively.

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The Role of Market Risk in Innovative Working Behaviour of Companies: A Comparative Analysis Between Turkey and Mexico Using Multivariate GARCH Methodology

Yiğit

Atgür

2020

Contributions to Management Science

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Volatility of stock market returns and the naira exchange rate

Cited by 34 publications

References 30 publications

Volatility spillovers between real exchange rate returns and real stock price returns in Malaysia

Volatility spillovers between real exchange rate returns and real stock price returns in Malaysia

Measuring Return and Volatility Spillovers among Sectoral Stocks in Nigeria

The Role of Market Risk in Innovative Working Behaviour of Companies: A Comparative Analysis Between Turkey and Mexico Using Multivariate GARCH Methodology

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