Network Granger Causality Linkages in Nigeria and Developed Stock Markets
Bayesian Graphical Analysis
Bibliographic Data
| ID | 21737511 |
|---|---|
| Authors | David Oluseun Olayungbo (0000-0001-6658-9426, Obafemi Awolowo University, corresponding author), Mamdouh Abdulaziz Saleh Al-Faryan (0000-0003-1665-807X, University of Portsmouth), Aziza Zhuparova (0000-0002-5787-760X, National Research University Higher School of Economics) |
| Year | 2024 |
| Volume | 25 |
| Issue | 3 |
| Pages | 555-579 |
| Publication date | 2024-07-02 |
| Open Access | No |
| Type | ARTICLE |
| Venue | Journal of African Business (JOURNAL) |
| Journal identifiers | ISSN: 1522-8916 • E-ISSN: 1522-9076 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1080/15228916.2023.2172990 |
| OpenAlex | W4320915185 |
| Language | EN |
| References cited | 52 |
This study investigates the interdependent structure between Nigeria and developed stock market using directed acyclic graph with Bayesian estimation techniques for the period of March 11, 2020 to July 31, 2021. The dynamic Granger causal test of both the contemporaneous and autoregressive estimation were done using the Markov Chain Monte Carlo (MCMC) simulation method with Metropolis-Hasting (MH) sampling technique. The graphical structure of the instantaneous and autoregressive results shows returns correlation for Nigeria’s stock market and both China and India’s stock market while absence of return correlation are found for both US and UK stock market. The result implies that Nigeria’s stock market has potential diversification benefit for the US and UK investors during pandemic crises. In addition, US stock market returns is found to depend on China stock market returns while volatility spill over runs from the US stock market to China’s stock market. Last, UK stock market tends to depend on India’s stock market. The implication of the study is that Nigeria’s stock market is integrated with China and India’s stock market while China’s stock market is linked to the US stock market such that any financial shock from the lead stock markets is transmitted to the lagged stock markets
Econometrics · Economics · Financial economics · Geography · Granger causality · Market depth · Stock market · Stock market bubble · Stock market index · Complex Systems and Time Series Analysis · Financial Risk and Volatility Modeling · Market Dynamics and Volatility
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Distribution of the Estimators for Autoregressive Time Series with a Unit Root
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The Covid-19 Outbreak and Affected Countries Stock Markets Response
| Highly cited | No |
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