Givers never lack: Nigerian oil &amp; gas asymmetric network analyses

Okorie, David Iheke; Lin, Boqiang

doi:10.1016/j.eneco.2022.105910

Cited by 7 publications

(7 citation statements)

References 36 publications

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“…Specifically for the Nigerian economy, In a nutshell, our findings conform with that of Okorie and Lin (2020a), Uzo‐Peters et al (2018), Tule et al (2017), Soyemi et al (2017) and Gill‐Alana and Yaya (2014) that activities in both markets matter significant to the extent of how much and quickly (return and volatility) the prices of these markets change over time. Similarly, it also agrees with the findings on the nature of the relationship between the global crude oil market and other emerging markets and economies like the United States, China, Mexico, Brazil, Turkey, and so on (Balcilar et al, 2019; Delgao et al, 2018; Ferreira et al, 2019; Ferrer et al, 2018; Mokni & Youssef, 2019; Toparli et al, 2019; Xiao & Wang, 2019; Yun & Yoon, 2019).…”

Section: Resultssupporting

confidence: 87%

“…4 4 The findings based on this sample periods are robust when more recent sample periods, up to January 2020, are included and when the network connectedness modelling approach is adopted (see Okorie & Lin, 2020a). …”

mentioning

confidence: 71%

“…In Equation (3), the conditional variance, H t = { h ij } 2 × 2 , is a 2 × 2 conditional heteroscedasticity variance–covariance matrix of A t (or a t equivalently) at time t and can be directly modelled in Equation (4) using the BEKK model (Baba et al, 1995). However, as an alternative to the network modelling connectedness (Okorie, 2020c; Okorie & Lin, 2020a), we move further to adopt the MGARCH − GJR − BEKK ( C , D ) volatility model in Equation (5) to factor the role of asymmetric volatility effects between the markets using the asymmetric component (Glosten et al, 1993) in the volatility spillover model analysis for the oil prices and the Nigerian stock market return. The MGARCH − GJR − BEKK ( C , D ) has been adopted by several researchers like Okorie (2020a, 2020b), Okorie and Lin (2020c), Tule et al (2017), and others.

a_{t} = {bold-italicH}_{t}^{\frac{1}{2}} z_{t}

H_{t} = D_{t} R_{t} D_{t}

H_{t} = C^{T} bold-italicC + \sum_{i = 1}^{C} {bold-italicX}_{bold-italici}^{T} a_{t - 1} a_{t - 1}^{T} X_{i} + \sum_{i = 1}^{D} {bold-italicY}_{bold-italici}^{T} H_{t - i} Y_{i}

H_{t} = C^{T} bold-italicC + \sum_{i = 1}^{C} bold-italicX<...

…”

Section: Data and Empirical Strategymentioning

confidence: 99%

“…), is an oil‐producing country and a member of the Organization of Petroleum Exporting Countries (OPEC). As an oil‐producing country, the Nigerian markets interact with the global crude oil markets (Okorie & Lin, 2020a). 1 Moreover, existing literature presents divergent views on the effect of the global crude oil markets on the Nigerian Stocks.…”

Section: Introductionmentioning

confidence: 99%

“… This article takes a new dimension into considering percentage changes in both markets (Okorie & Lin, 2020a, 2020b, 2020c), independent of the exchange rate influences, to nullify the effects of the Nigerian Naira (NGN) and the United States Dollar (USD) exchange rate in the analysis of the relationship between both markets. In other words, this article aims to study the information spillover between the NSE and global crude oil markets without the effects of the exchange rates, different from the existing studies.…”

Section: Introductionmentioning

confidence: 99%

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Crude oil market and Nigerian stocks: An asymmetric information spillover approach

Okorie

Lin

2020

Int. J Fin Econ

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This article examines the nature of information spillovers, in return and volatility, that exists between the full index stock of the Nigerian stock exchange (NSE) and the crude oil markets (Brent and West Texas Intermediate (WTI) oil markets). We adopted the asymmetric VAR − MGARCH − GJR − BEKK model and found evidence of unidirectional return spillover from the Brent oil market to the NSE and a bidirectional return spillover between the NSE market and the WTI oil market. The response of the WTI market to a shock on the NSE market is rather short-lived. There exists strong evidence of a lead-lag relationship between the crude oil market and the NSE market wherein the crude oil market leads or drives the NSE market return fluctuations. For both crude oil markets, the Brent and the WTI markets, there exists a bidirectional volatility spillover between the NSE index and the crude oil markets, as well as significant asymmetric shocks. Practical policy implications and recommendations were made, based on the findings.

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