For correspondence:-
Received: 21 Feb. 2018 Accepted: 29 March 2018 Published: 31 March 2018
Citation: Volatility Transmission and Spillovers: A Review of Literature. Account Tax Rev 2003; 2(1):199-232 doi:
© 2003 The authors.
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Abstract
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.
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