LAUSR

Understanding the nature of interdependence between international stock markets is vital for portfolio diversification, risk management and market regulation. This paper examines the nature of interdependence among West African stock markets using correlation analysis, the Granger causality test and a multivariate BEKK‐GARCH (1,1) model. The results show evidence of a weak relationship among West African stock markets. The results also show absence of causal dependence between the Cote d'Ivoire BRVM (Bourse Regionale des Valeurs Mobilieres), and the Ghana stock market, but evince feedback relationship between the Cote d'Ivoire BRVM and the Nigeria stock market as well as between the Ghana and Nigeria stock markets. The results further reveal no evidence of volatility spillover between the Cote d'Ivoire BRVM and the Ghana stock market, but show evidence of unidirectional volatility spillover from the Nigeria stock market to the Cote d'Ivoire BRVM as well as bidirectional volatility spillover between the Nigerian and Ghanaian stock markets. Overall, the findings reveal existence of weak interdependence among West African stock markets, and that West African financial markets are interdependent through the Nigerian market. These findings are relevant to stock market stabilisation and investment policy in West Africa.