Volatility Spillover of the Agriculture Sector on the Nairobi Securities Exchange

Chuchu Michael Nyangasi^1, and John Olukuru¹

¹Strathmore University, School of Finance and applied Economics

Cite this paper:
Chuchu Michael Nyangasi and John Olukuru. Volatility Spillover of the Agriculture Sector on the Nairobi Securities Exchange. Journal of Finance and Economics. 2017; 5(2):76-84. doi: 10.12691/jfe-5-2-5

Abstract

This paper investigates the existence and magnitude of volatility spillovers among equities on the Nairobi Securities Exchange. The multivariate VARMA-GARCH model is used to test for spillover effects between four broad sectors of the NSE: Agricultural, Financial, Commercial and Services and Industrial. The significance of the parameters of the model are used as an indicator of the spillover effect between sectors. Based on the empirical results, the biggest volatility spillover is from the commercial and services sector to the broad industrial sector. There are also significant spillovers from the industrial and agricultural sectors to the financial and commercial and services sectors, as well as from the financial and commercial and services sectors to the broad industrial sector.

Keywords:
volatility spillovers NSE VARMA-GARCH

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