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Corresponding Author:
Mohamed M. Tumala, Statistics Department, Central Bank of Nigeria

Ngozi V. Atoi, Statistics Department, Central Bank of Nigeria
Tari Karimo, Statistics Department, Central Bank of Nigeria

Returns and Volatility Spillover between Nigeria and Selected Global Stock Markets: A Diebold-Yilmaz Approach

Volume 76 - Issue 2, May 2023
(pp. 173-208)
JEL classification: G11; G12; G15
Keywords: Diversification; Integration; International Financial Markets; Portfolio; Stock Returns; Spillovers; Volatility


This study examines stock return and volatility spillovers between Nigeria and five global markets (China, Hong Kong, Japan, UK, and the US) from January 2000 to August 2021. The study adopts the Diebold-Yilmaz interconnectedness index and concludes that most of the returns generated in Nigeria are due to domestic shocks, implying that the country is less integrated. Also, larger proportion of risks in Nigeria are attributable to global shocks suggesting that the Nigerian stock market is vulnerable to international shocks. The study also showed that the global financial crisis (GFC) is associated with higher and intensified return and volatility spillovers among global markets. The study recommends that investors should consider assets in the Nigerian stock market in their portfolios to benefit from diversification. The study also advocates for policies to stabilize the domestic economy and build buffers to make the market resilient to global uncertainties.

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Institute for International Economics
of the Genoa Chamber of Commerce

Istituto di Economia Internazionale
Camera di Commercio di Genova
Via Garibaldi, 4 (III piano) - 16124 Genova (Italy)