Title: Modelling sustainable market co-movement between Nigeria (NSE) and South Africa stock markets (JSE)

Authors: Ebere Ume Kalu; Augustine C. Arize; Kishor Kumar Guru-Gharana; Ndubuisi Udemezue

Addresses: Department of Banking and Finance, University of Nigeria, Enugu Campus, Nsukka, Enugu, Nigeria ' Economics and Finance Department, College of Business Texas A&M University-Commerce, Commerce, Texas, USA ' Economics and Management Department, College of Business Texas A&M University-Commerce, Commerce, Texas, USA ' Department of Accounting and Finance, Alex Ekwueme Federal University, Ndufu-Alike Ikwo, Ebonyi State, Abakaliki, Nigeria

Abstract: This study evaluates the co-movement and volatility transmission between the two leading stock exchanges in Africa - the JSE and the NSE. The study is motivated by the need to establish the linkage between the two leading stock markets in Africa for the imperatives of sustainable development and provision of funding for diverse entrepreneurial endeavours in the studied economies. The study used weekly return series from January 2006 (week 1) to December 2020 (week 3) of the Johannesburg Stock Market (JSE) and the Nigerian Stock Exchange (NSE) and adopted the BEKK variant of the multivariate Generalised Autoregressive Conditional Heteroscedasticity (GARCH) family model. The study majorly discovered that sustained co-movement between the two markets happen more at periods of economic stability than what obtains during crises periods. It is recommended that greater interconnectedness between the JSE and NSE should be created while building safety net for adverse news or shock transfers. This is for the imperatives of entrepreneurial development by sustained funding through deliberate stock market based intermediation not just for the benefits of the investigated stock markets but for the whole of the African region.

Keywords: GARCH; BEKK model; stock market volatility; JSE; NSE.

DOI: 10.1504/WREMSD.2024.136953

World Review of Entrepreneurship, Management and Sustainable Development, 2024 Vol.20 No.2, pp.235 - 255

Received: 14 May 2021
Accepted: 30 Sep 2021

Published online: 01 Mar 2024 *

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