Original Research Article | OPEN ACCESS
Volatility Transmission and Spillovers: A Review of Literature

J. U.J. Onwumere1, A. G. Braimah2, E. J. Idolor3

1Department Of Banking and Finance, Faculty of Business Administration, University of Nigeria, Nsukka, Enugu Campus, Enugu State Nigeria.; 2Department of Accountancy, Auchi Polytechnic, Auchi, Edo; 3Department of Banking and Finance, Faculty of Management Sciences,University of Benin, Nigeria..

For correspondence:-  E. Idolor   Email: eseseoghene.Idolor@uniben.edu

Received: 21 Feb. 2018        Accepted: 29 March 2018        Published: 31 March 2018

Citation: Onwumere JU, Braimah AG, Idolor EJ. Volatility Transmission and Spillovers: A Review of Literature. Account Tax Rev 2018; 2(1):199-232 doi:

© 2018 The authors.
This is an Open Access article that uses a funding model which does not charge readers or their institutions for access and distributed under the terms of the Creative Commons Attribution License (http://creativecommons.org/licenses/by/4.0) and the Budapest Open Access Initiative (http://www.budapestopenaccessinitiative.org/read), which permit unrestricted use, distribution, and reproduction in any medium, provided the original work is properly credited..


This paper is about volatility transmission and spillover among stock markets. Volatility Transmission refers to the means, medium or channel through which financial shocks move across borders. The essence of the paper, therefore, is to examine the possible movement of such volatilities beyond the national economies where they are generated; to other economies where their impact is felt on a short and long-term basis. From the extant literature on volatility transmissions, spillovers and contagion, we observe that the existence of growing economic ties among nations increasingly continues to increase the level of interdependence among stock markets on a worldwide scale thereby further fostering volatility transmissions across borders. Overall, we posit,  from our review of the extant literature that African markets are segmented at the regional and global level, as domestic volatility is more likely influenced by idiosyncratic local shocks which indicate the proportion of volatility generated within the markets that are not attributable to either global or regional factors. It is therefore recommended that the potential for gains from international portfolio diversification and the scope for the success of policies aimed at the stabilisation of the stock market in Nigeria and indeed the rest of Africa exist. 

Keywords: Volatility, Transmission, Spillover, Meltdown, Interdependence, Bourse, Idiosyncratic

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