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Return and volatility spillovers between South African and Nigerian equity markets

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Academic year: 2020

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Figure

Figure 1 shows that UK, Nigerian, and South African stock market returns are each mean reverting, thus, suggesting the presence of stationarity in the data
Table 5 suggests the relatively inexpensive cost of hedging a long position in the South
Figure 4: Dynamic weekly optimal hedge ratios for positions in the NSE and JSE:

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