Analysis of the Transmission of Oil Price Volatility to ECOWAS Stock Markets: An MSGARCH and GARCH BEKK Approach

This research aims to examine the transmission of oil price volatility to ECOWAS stock markets between November 3, 2017, and June 16, 2022, utilising daily data from the three major financial markets. To do this, we used the MSGARCH and GARCH BEKK models. The study concluded that oil returns and ECOWAS financial market results are volatile. Furthermore, the volatility of oil returns is considerably communicated to the returns of the BRVM, GSE, and NSE before and after the COVID-19 crisis, with the NSE showing a larger amplitude. The paper advises accelerating the integration of the zone’s financial markets and establishing a stabilisation fund.