Abstract:

The interdependence of stock market dovetails to stock market comovements in the form of returns and volatility spillover. This study examines return and volatility spillovers amongst stock markets in the West African region and with the UK and US markets considering an entire sample period from 2008 to 2016 and sub sample periods of 2008-2010 representing the crises period and 2011 -2016 representing the post crises period. The GARCH (1,1) model was utilised for the study. Findings revealed significant return and volatility spillover effect between most of the market pairs. While more volatility spillovers were observed than returns spillover significant differences were also observed between the results for the different sample periods. The findings have implications for foreign portfolio investors and policy makers at the national regional and global levels.