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The global financial crisis: testing for fractional cointegration between the US and Nigerian stock markets

Autores: Yaya, O. S.; Gil Alaña, Luis Alberiko; Olubusoye, O. E.
ISSN: 0022-037X
Volumen: 51
Número: 4
Páginas: 29 - 47
Fecha de publicación: 2017
As a result of the dependency of United States (US) on Nigerian oil exports, coupled with her greatest share in Nigerian foreign direct investment, the recent global financial crisis of 2008/09 which emanated from the country spilled over to the Nigerian capital market, affecting majorly the financial sectors. Since the period of the crisis, the interests of the researchers have been gingered towards studying the interdependencies in financial market series of nations that are trading partners, particularly in relation to technological advanced economies like the US and the United Kingdom. This paper examines the effects of the global financial crisis on the Nigerian stock market. We use daily US stocks (S&P500, Nasdaq and Dow Jones industrial stock indices) and All Share Index (ASI) of Nigerian Stock Exchange, testing for long run equilibrium relationships between the Nigerian ASI and each of the US indices. Apart from the initial nonstationarities displayed by the stock time series, plots of a US stock index and ASI also display the possibility of possible co-movement over time, particularly during the crisis period. That called for possible test for cointegration. However, instead of restricting ourselves to integer degrees of differentiation we allow for the possibility of fractional values. Thus, we test for fractional integration, and the results (...)