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AFRICAN REVIEW 2009

STOCK RETURN VOLATILITY, GLOBAL FINANCIAL CRISIS AND THE MONTHLY SEASONAL EFFECT ON THE NIGERIAN STOCK EXCHANGE Titolo STOCK RETURN VOLATILITY, GLOBAL FINANCIAL CRISIS AND THE MONTHLY SEASONAL EFFECT ON THE NIGERIAN STOCK EXCHANGE
Autore Olowe, Rufus Ayodeji    
Abstract

This paper investigated the monthly seasonal effect in the Nigerian stock market using the EGARCH-in-mean model in the light of banking reforms, insurance reform, stock market crash and the global financial crisis using daily returns over the period 4 January 2004 to March 2, 2009.The result shows the absence of monthly effect in stock returns but there exists the July and August effects in stock volatility. It is found that, in the Nigerian stock market, returns show persistence in the volatility and clustering and asymmetric properties. The results show that volatility is persistent and there is a leverage effect supporting the work of Nelson (1991). The study found little evidence on the relationship between stock returns and risk as measured by its own volatility.


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