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A Test of Asymmetric Volatilityin the Nigerian Stock Exchange
International Journal of Economics, Finance and Management Sciences
Volume 4, Issue 5, October 2016, Pages: 263-268
Received: Mar. 8, 2016; Accepted: May 12, 2016; Published: Sep. 28, 2016
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Author
Aguda Niyi A., Department of Banking and Finance, Waziri Umaru Federal, Polytechnic Birnin-Kebbi, Kebbi State, Nigeria
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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.
Keywords
Information Asymmetry,Stock Exchange, pre-specified APT Model, Statistical APT, TAR-GARCH,Market Return
To cite this article
Aguda Niyi A., A Test of Asymmetric Volatilityin the Nigerian Stock Exchange, International Journal of Economics, Finance and Management Sciences. Vol. 4, No. 5, 2016, pp. 263-268. doi: 10.11648/j.ijefm.20160405.15
Copyright
Copyright © 2016 Authors retain the copyright of this article.
This article is an open access article distributed under the Creative Commons Attribution License (http://creativecommons.org/licenses/by/4.0/) which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
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