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Return and volatility spillovers among stock and foreign exchange markets: empirical evidence from selected African markets

Author: 
Benjamin Adjei, Prince Donkor, Samuel Agyei Nimo, Wilson Kwaku Nimsaah and Benjamin Adjei Danquah
Subject Area: 
Social Sciences and Humanities
Abstract: 

The study examines the relationships between equity and foreign exchange markets with a focus on return and volatility spillovers in Egypt, Kenya, Nigeria, South Africa and Tunisia. To aid analysis, a bivariate VAR-GARCH BEKK model is employed in the study. The main findings suggest a higher dependence of own return in the stock markets and a uni-directional return spillover from the currencies to the equity markets except for South Africa which has a weaker interrelation among the two markets. Furthermore, results was able to prove a higher level of segmentation among the stock and foreign exchange markets in transmitting volatility spillovers, hence indicating a low integration among them. Investors who are likely to diversify into these growing African markets are likely to reap results of this diversification by trading strategically in the equity and currencies markets.

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