Stock Market Volatility Spillover in West Africa: Regional and Global Perspectives
Stock Market Volatility Spillover in West Africa: Regional and Global Perspectives

Summary/Abstract: This study examines volatility spillover between stock markets in the West African region, and with the United States of America (US) and United Kingdom (UK) stock markets using the Exponential Generalized Autoregressive Conditional Heteroscedastic (E-GARCH). Daily stock market index returns from 2008-2016 were analysed considering two sub-sample periods representing periods of turbulence and tranquil. Findings from the study reveal that there is the presence of significant volatility spillover effects between stock markets in the West African region and also with major global markets of US and UK. Significant changes are also observed in the direction, magnitude and sign of impact during the period of crises and in the post crises period. The results of this study is important to local, regional and international investors, market participants and regulatory bodies as it implicates on portfolio diversification strategies, capital controls policies and efforts towards regional stock market integration.

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