Abstract This paper examines the return and volatility spillovers of different sectoral stock prices in Nigeria using monthly data from January 2007 to December 2016. We employ the Diebold and Yilmaz (2012) spillover approach and rolling sample analysis to capture the inherent secular and cyclical movements in the sector stocks market.We show that there is substantial difference between the behaviour of the sectoral stock return and volatility spillover indices over time. We find evidence of interdependence among sector stocks given the spillover indices. While the return spillover index reveals increased integration among the sectoral stocks, the volatility spillover index experiences significant bursts during major market crises. Interestingly, return and volatility spillovers exhibit both trends and bursts respectively.

中文翻译：

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衡量尼日利亚各部门股票之间的收益和波动溢出

摘要本文使用2007年1月至2016年12月的月度数据研究了尼日利亚不同行业股票价格的收益和波动溢出。我们采用Diebold and Yilmaz（2012）溢出方法和滚动样本分析来捕获尼日利亚固有的长期和周期性波动。我们显示，随着时间的流逝，部门股票收益率的行为与波动溢出指数之间存在很大差异。考虑到溢出指数，我们发现了行业股票之间相互依存的证据。尽管收益溢出指数显示出行业股票之间的整合程度有所提高，但在主要市场危机期间，波动溢出指数却经历了重大爆发。有趣的是，收益率和波动率溢出分别显示趋势和爆发。