文章基本信息

标题：Volatility Spillover Effects among Securities Exchanges in East Africa
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作者：Nelson Yunvirusaba ; Jane Aduda ; Ananda Kube 等
期刊名称：International Journal of Economics and Finance
印刷版ISSN：1916-971X
电子版ISSN：1916-9728
出版年度：2019
卷号：11
期号：10
页码：32-41
DOI：10.5539/ijef.v11n10p32
语种：English
出版社：Canadian Center of Science and Education
摘要：This paper aims at examining volatility spillover effects among the returns of three out of the four securities exchanges in East Africa. Vector autoregressive model was used to model return series evolution; and, Johansen co-integration test, was further applied to examine any possibilities of co-integration. Dynamic conditional correlation model was then employed to explore the dynamics of conditional variances. Daily closing all share indices data spanning the period 29 February 2008 to 28 February 2018 was used. The results of the study revealed that, there is bidirectional causality between Nairobi securities exchange and Dar es salaam securities exchange; unidirectional eﬀect between Nairobi securities exchange and Uganda securities exchange; while between Dar es salaam securities exchange and Uganda securities exchange, there is a unidirectional eﬀect. The study ﬁndings also indicate evidence of no co-integration, thus, no long-run relationship among the exchanges. The dynamic conditional correlation proved to be the most parsimonious model whose results indicated evidence of volatility spillover among the securities exchanges.
关键词：co-integration; dynamic conditional correlation; East Africa; securities exchanges; volatility spillover effects