volatility of Nigeria and Kenya stock returns react to market shock faster than as other countries do. The results also suggest … dummy on two innovation assumptions using daily all share index of Nigeria, Kenya, United States, Germany, South Africa and … volatility reaction to market shocks and volatility persistence alongside the asymmetric properties. The results reveal that …

return and volatility spillover between the S&P 500 and 12 Asian stock markets using weekly data from January 2000 to … February 2020. DECO-GARCH models are employed to measure volatility transmission between markets. A generalized VAR, variance … the interdependence of the conditional returns, conditional volatility, and conditional correlations between the stock …

The contributions of error distributions have been ignored while modeling stock market volatility in Nigeria and … studies have shown that the application of appropriate error distribution in volatility model enhances efficiency of the model …. Using Nigeria All Share Index from January 2, 2008 to February 11, 2013, this study estimates first order symmetric and …

.S. affects international stock market comovements. Results show that a shock to the VIX leads to increases in cross …-county correlations in the following week and that the correlations tend to decline in the second week that follows the shock. The …

study we investigate the mean-volatility spillover effects that happen across international stock markets. The study, by … taking into consideration the stock market returns based on various indices, investigates the mean-volatility spillover … precise and separate measures of return spillovers and volatility spillovers. The analysis provides the evidence of strong …

This study investigates the volatility and external shock persistence within the financial and alternative assets … experienced an increase in volatility, except Bitcoin, across all observation periods. Islamic stock and ESG indexes exhibited … high volatility before the Covid-19 outbreak. During the pandemic, all assets became more volatile. In addition, Islamic …