Inter - sector volatility spillover among equities on the Nairobi Stock Exchange
Date
2015-11
Authors
Chuchu, Michael Nyangasi
Journal Title
Journal ISSN
Volume Title
Publisher
Strathmore University
Abstract
This paper investigates the existence and magnitude of volatility spillovers among equities on the Nair obi Securities Exchange. The multivariate VARMA - GARCH model is used to test for spillover effects between four broad sectors of the NSE: Agricultural, Financial, Commercial and Services and Industrial. The significance of the parameters of the model are used as an indicator of the spillover effect between sectors. Based on the empirical results, the biggest volatility spillover is from the commercial and services sector to the broad industrial sector. There are also significant spillovers from the industrial and agricultural sectors to the financial and commercial and services sectors, as well as from the financial and commercial and services sectors to the broad industrial sector.
Description
Submitted in partial fulfillment of the requirements for the Degree of Bachelor of Business Science in Actuarial Science at Strathmore University
Keywords
Volatility Spillovers, NSE, VARMA-GARCH