RETURN SPILLOVER EFFECTS BETWEEN OIL PRICES AND SECTORAL STOCKS IN NIGERIA: A DISAGGRETED APPROACH

Abstract

This study examined the return spillover effects between oil prices and sector specific stock returns on the eleven sectors listed on the Nigeria exchange group whose main objective is to uncover return spillover effects between oil and stock returns. The study utilized the constant conditional correlation – CC – VARMA-GARCH methodology where findings indicate that returns in both markets reveal both short term predictability in prices and bi-directional spillover effects between oil sectoral stock returns. The study recommends among others for investors, portfolio managers, policy makers and other market participants to continuously monitor returns in both markets and factor same in their decision making process.