这项研究考察了尼日利亚证券交易所市场(NSE)和一些选定的股票市场之间的传染和结构性断裂,即:加纳,南非(SA),突尼斯,和美国。考虑了两个时期:危机期(2016年5月1日至2017年12月31日)和平静期(2018年1月1日至2019年12月31日)。在(陈,J.,Fry-McKibbin,R&萧C(2018)。传染病的体制切换偏斜-正态模型。非线性动力学和计量经济学研究,第23卷,第1期),该研究使用了政权转换偏态(RSSN)模型,该模型能够测量市场之间的传染和结构中断。我们的结果表明,危机和平静时期之间存在结构性突破,这是传染的先决条件。此外,研究发现,尼日利亚和南非股票市场之间存在适度的传染,但尼日利亚和其余股票市场之间没有传染,建议在2016年经济衰退期间从尼日利亚飞往南非的资金航班,以确保安全。然而,在平静时期,我们找不到任何从南非转向尼日利亚的资本逆转的证据,这意味着尼日利亚和南非股市之间存在不对称关系。尼日利亚和选定的非洲股票市场之间没有传染,这表明各国之间没有重大的经济合作和跨境证券投资流动。这一事态发展进一步强调了全面执行《非洲大陆自由贸易协定》(AfCFTA)的必要性,这鼓励了非洲大陆的经济活动和投资流动。
This study examined the contagion and structural break between Nigerian Stock Exchange Market (NSE) and some selected stock markets, namely: Ghana, South Africa (SA), Tunisia, and the United States. Two periods were considered: the crisis period (1st May 2016 to 31st December 2017) and the calm period (1st January 2018 to 31st December 2019). Following the work of (Chan, J., Fry-McKibbin, R. & Hsiao C. (2018). A Regime switching skew-normal model of contagion. Studies in Nonlinear Dynamics and Econometrics, Volume 23, Issue 1), the study used the Regime Switching Skew-Normal (RSSN) model which is capable of measuring contagion and structural breaks between markets. Our results indicated evidence of a structural break between the crisis and calm periods, which is a prerequisite for contagion. Furthermore, the study found a moderate contagion between Nigeria and SA stock markets but an absence of contagion between Nigeria and the remaining stock markets, suggesting capital flights from Nigeria to SA for safety during the 2016 economic recession. However, we were unable to find any evidence of capital reversal to Nigeria from SA during the calm period, implying an existence of an asymmetric relationship between Nigeria and South African stock markets. The absence of contagion between Nigeria and the selected African stock markets, suggests there is no significant economic cooperation and cross-border portfolio investment flow among the countries. This development further underpins the imperativeness of the full implementation of the African Continental Free Trade Agreement (AfCFTA), which encourages economic activities and investment flow on the continent.