International Journal of Economics, Finance and Management Sciences

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A Test of Asymmetric Volatilityin the Nigerian Stock Exchange

Received: 08 March 2016    Accepted: 12 May 2016    Published: 28 September 2016
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Abstract

This study seeks to test for the presence of asymmetric effect in the Nigerian Stock Exchange. In order to achieve the objective of the study, the researcher obtains the average market return, the equilibrium market returns generated by the risk factors of the APT, and then subjects them to asymmetric tests using the TAR-GARCH technique. Findings from the study reveal that equilibrium market return generated by pre-specified APT does not significantly respond to information asymmetry. This implies that is volatility does not really change with information. However, the equilibrium market return generated by statistical APT exhibits the presence of information asymmetry whereby the volatility of stock returns significantly responds to information. This reveals the presence of leverage effect in the Nigerian stock market whereby stock returns volatility increases with bad news but the volatility reduces with good or positive news. The researcher recommends that government agents in respect of this market should provide more adequate means of information diffusion into the market at zero cost to all participants.

DOI 10.11648/j.ijefm.20160405.15
Published in International Journal of Economics, Finance and Management Sciences (Volume 4, Issue 5, October 2016)
Page(s) 263-268
Creative Commons

This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited.

Copyright

Copyright © The Author(s), 2024. Published by Science Publishing Group

Keywords

Information Asymmetry,Stock Exchange, pre-specified APT Model, Statistical APT, TAR-GARCH,Market Return

References
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Author Information
  • Department of Banking and Finance, Waziri Umaru Federal, Polytechnic Birnin-Kebbi, Kebbi State, Nigeria

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  • APA Style

    Aguda Niyi A. (2016). A Test of Asymmetric Volatilityin the Nigerian Stock Exchange. International Journal of Economics, Finance and Management Sciences, 4(5), 263-268. https://doi.org/10.11648/j.ijefm.20160405.15

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    ACS Style

    Aguda Niyi A. A Test of Asymmetric Volatilityin the Nigerian Stock Exchange. Int. J. Econ. Finance Manag. Sci. 2016, 4(5), 263-268. doi: 10.11648/j.ijefm.20160405.15

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    AMA Style

    Aguda Niyi A. A Test of Asymmetric Volatilityin the Nigerian Stock Exchange. Int J Econ Finance Manag Sci. 2016;4(5):263-268. doi: 10.11648/j.ijefm.20160405.15

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  • @article{10.11648/j.ijefm.20160405.15,
      author = {Aguda Niyi A.},
      title = {A Test of Asymmetric Volatilityin the Nigerian Stock Exchange},
      journal = {International Journal of Economics, Finance and Management Sciences},
      volume = {4},
      number = {5},
      pages = {263-268},
      doi = {10.11648/j.ijefm.20160405.15},
      url = {https://doi.org/10.11648/j.ijefm.20160405.15},
      eprint = {https://download.sciencepg.com/pdf/10.11648.j.ijefm.20160405.15},
      abstract = {This study seeks to test for the presence of asymmetric effect in the Nigerian Stock Exchange. In order to achieve the objective of the study, the researcher obtains the average market return, the equilibrium market returns generated by the risk factors of the APT, and then subjects them to asymmetric tests using the TAR-GARCH technique. Findings from the study reveal that equilibrium market return generated by pre-specified APT does not significantly respond to information asymmetry. This implies that is volatility does not really change with information. However, the equilibrium market return generated by statistical APT exhibits the presence of information asymmetry whereby the volatility of stock returns significantly responds to information. This reveals the presence of leverage effect in the Nigerian stock market whereby stock returns volatility increases with bad news but the volatility reduces with good or positive news. The researcher recommends that government agents in respect of this market should provide more adequate means of information diffusion into the market at zero cost to all participants.},
     year = {2016}
    }
    

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    AB  - This study seeks to test for the presence of asymmetric effect in the Nigerian Stock Exchange. In order to achieve the objective of the study, the researcher obtains the average market return, the equilibrium market returns generated by the risk factors of the APT, and then subjects them to asymmetric tests using the TAR-GARCH technique. Findings from the study reveal that equilibrium market return generated by pre-specified APT does not significantly respond to information asymmetry. This implies that is volatility does not really change with information. However, the equilibrium market return generated by statistical APT exhibits the presence of information asymmetry whereby the volatility of stock returns significantly responds to information. This reveals the presence of leverage effect in the Nigerian stock market whereby stock returns volatility increases with bad news but the volatility reduces with good or positive news. The researcher recommends that government agents in respect of this market should provide more adequate means of information diffusion into the market at zero cost to all participants.
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