Understanding the nature of interdependence between international stock markets is vital for portfolio diversification, risk management and market regulation. This paper examines the nature of interdependence among West African stock markets using correlation analysis, the Granger causality test and a multivariate BEKK-GARCH (1,1) model. The results show evidence of a weak relationship among West African stock markets. The results also show absence of causal dependence between the Côte d'Ivoire BRVM (Bourse Régionale des Valeurs Mobilières), and the Ghana stock market, but evince feedback relationship between the Côte d'Ivoire BRVM and the Nigeria stock market as well as between the Ghana and Nigeria stock markets. The results further reveal no evidence of volatility spillover between the Côte d'Ivoire BRVM and the Ghana stock market, but show evidence of unidirectional volatility spillover from the Nigeria stock market to the Côte d'Ivoire BRVM as well as bidirectional volatility spillover between the Nigerian and Ghanaian stock markets. Overall, the findings reveal existence of weak interdependence among West African stock markets, and that West African financial markets are interdependent through the Nigerian market. These findings are relevant to stock market stabilisation and investment policy in West Africa.

中文翻译：

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西非股票市场之间的相互依存：区域金融一体化的一个维度

了解国际股票市场之间相互依存的性质对于投资组合多样化、风险管理和市场监管至关重要。本文使用相关分析、格兰杰因果检验和多变量 BEKK-GARCH (1,1) 模型研究了西非股票市场之间相互依存的性质。结果显示西非股票市场之间关系较弱的证据。结果还表明，科特迪瓦 BRVM（Bourse Régionale des Valeurs Mobilières）与加纳股票市场之间不存在因果依赖关系，但表明科特迪瓦 BRVM 与尼日利亚股票市场之间以及加纳和尼日利亚股市。结果进一步显示，没有证据表明科特迪瓦 BRVM 和加纳股市之间存在波动溢出，但显示了从尼日利亚股票市场到科特迪瓦 BRVM 的单向波动溢出以及尼日利亚和加纳股票市场之间的双向波动溢出的证据。总体而言，调查结果揭示了西非股票市场之间存在弱的相互依存关系，并且西非金融市场通过尼日利亚市场相互依存。这些发现与西非的股市稳定和投资政策有关。西非金融市场通过尼日利亚市场相互依存。这些发现与西非的股市稳定和投资政策有关。西非金融市场通过尼日利亚市场相互依存。这些发现与西非的股市稳定和投资政策有关。