Mohammed A. Shettima, Ali. I. Gambo, Ochoche Abraham, Hussaini D. Adamu and Bashir S. Gadanya, Nigeria
The study employs a VARMA-AMGARCH estimation to evaluate the cross transmission of return and volatility spillovers between the Nigeria stock exchange (NSE) and the Ghanaian stock exchange (GSE) to infer the extent of interdependence of the two stock markets. The study uses daily data on All Share Price Index of the Nigeria Stock Exchange market (NGSE) and the Ghanaian Stock market (BNKIALL) between January 5, 2009 and October 12, 2018. The results of the empirical analysis suggest that the Nigeria's stock market and Ghana's stock markets are functionally dependent and the spillover effect from Ghana stock market to Nigeria stock market is stronger than from Nigeria to Ghana in absolute value. Moreover, the results suggest that Ghana's stock returns appear to experience higher long run shock persistence than the Nigeria's Stock market returns. The magnitude of the short run persistence of shocks for Nigeria stock market returns is estimated as 0.04766 which is quite small compared to Ghana's stock market returns which are 0.1909. The paper concluded by showing a significant cross-transmission between the two countries market returns and shock spillovers.