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.
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.
Alagidede, P. &Panagiotidis, T. (2009). Modeling stock returns in Africa’s emerging equitymarkets. International Review of Financial Analysis, 18, 1-11.
Aliyu, U. R. (2011). Does inflation have an impact on stock price returns and volatility?Evidence from Nigeria and Ghana. International Conference on Economics and Finance Research, Singapore.
Andersen, T.G. &Bollerslev, T.(1996). DM-Dollar volatility: intraday activity patterns,macroeconomic announcements, and longer run dependencies. .Journal of Finance.
Andersen, T., Bollerslev, T., Diebold, F.X. &Ebens, H. (2001). The distribution of realized.stock return volatility. Journal of Financial Economics, 61, 43-76.
Ang, A. & Chen, J. (2002). Asymmetries correlations of equity portfolios. Journal of Financial Economics,63,443-494.
Anokye, A.M. &Tweneboah,G. (2008). Foreign direct investment and stock market development: Gana’s Evidence. MPR paper 11985. University library of Munich, Germany.
Attari, M.I.J.,&Safdar, L. (2013). The relationship between macroeconomic volatility and thestock market volatility: Empirical evidence from Pakistan. Pakistan Journal ofCommerce and Social Sciences, 7 (2), 309-320.
Avramov, D., Chordia, T. & Goyal, A. (2006). The impact of trades on daily volatility. FinancialStudies, 19 (4), 1214-1277.
Berry, T.D. & Howe, K.M.(1994). Public information arrival. Journal of Finance, 49(4), 1331-46.
Black, F. (1976). Studies of stock market volatility changes. Proceedings of the AmericanStatistical Association, Business and Economic Statistics Section, 177-181.
Brealey R.A, & Meyers, S.C. (2003). Principles of corporate finance, 7th edition. McGraw-Hill.
Campbell, J.Y. &Hentschel, L. (1992). No news is good news: An asymmetric model ofchanging volatility in stock returns. Journal of Financial Economics,31, 281-318.
Charlse, A. (2010). The day-of-the week effects on the volatility: The role of asymmetry.European Journal of Operational Research. 202, 143-142.
Christie, AA (1982). The stochastic behaviour of common stock variance - value, leverage andinterest rate effects. Journal of Financial Economics, 10(4), 407-432.
Chen, C.R., Mohan, N.J.& Steiner, T.L. (1999). Discount rate changes, stock market returns,volatility, and trading volume: evidence from intraday data and implication for marketefficiency. Journal of Banking and Finance, 23, 897-924.
Chiang T.C.,&Doong S.(2001). Empirical analysis of stock returns and volatility: EvidencefromSeven Asian stock markets based on TAR-GARCH Model. Review of QuantitativeFinance and Accounting, 17: 301–318.
Cho, Y. & Engle,R.F. (1999). Time varying betas and asymmetric effect of news: Empirical analysis ofbluechips stocks. NBER Working Paper No.7330.
Connolly, R.A. &Stivers C.T., (2000). Evidence on the economics of equity return volatilityclustering. Mimeo.
Ederington, L.H &Lee, J.H.(1993). How markets process information: new releases andvolatility,Journal of Finance, 48(4), 1161-1191.
Ederington, L.H & Lee, J.H.(1996). The creation and resolution of market uncertainty: Theimpact ofinformation releases on implied volatility, Journal of Financial andQuantitative Analysis, 31(4),513-39.
Emenike, K.O. &Aleke S.F. (2012). Modeling asymmetric volatility in the Nigerian StockExchange. European Journal of Business and Management Vol 4, (12), 2012.
Engel, R. & Ng, V.K. (1993). Measuring and testing the impact of new on volatility. Journal of Finance, 48(5),1749-78.
French, K.R. & Roll, R.(1986). Stock returns variances. The arrival of information and thereactionof traders. Journal of Financial Economics,17, 5-26.
Glosten, L. R., Jagannathan R. &Runkle, D. (1993). On the relation between the expected valueandthe volatility of the nominal excess return on stocks. Journal of Finance.48, 1779–1801.
Kroner K.F. & Ng, V.K (1998). Modeling asymmetric comovements of assets returns. The Review of Financial Studies, Vol,11(4),817-844.
Nelson, D. (1991). Conditional heteroscedasticity in asset returns: A new approach.Econometrica, 59 (2), 347-370.
Ogum, G.; Beer, F. &Nouyrigat, G. (2005). Emerging equity market volatility: An empiricalinvestigation of markets in Kenya and Nigeria. Journal of African Business, 6, (1/2), 139-154.
Okpara, G.C. &Nwezeaku, N.C. (2009). Idiosyncratic risk and the cross-section of expectedstock returns: Evidence from Nigeria. European Journal of Economics, Finance andAdministrative Sciences 17, 1-10.
Okpara, G. C. (2011). Volatility modeling and the nigerian stock return relationship in EGARCH-in-mean framework. International Journal of Current Research Vol. 3 (8), 176-185.
Olowe, R.A. (2009). Stock return, volatility and the global financial crisis in an emergingmarket: The Nigerian case. International Review of Business Research Papers, Vol. 5(4),426-447.
Onwukwe, C.E, Bassey, E.E.& Isaac,I.O (2011). Modeling the volatility of Nigerian stock returns using GRCH model. Journal of Mathematics Research Vol. 3(4). DOI:10.5539.
Oskooe, S.A.P. &Shamsavari, A. (2011). Asymmetric volatility in emerging stock markets: Acase of Iran. International Journal of Economics and Finance Vol. 3 (6): 15-24.
Saleem, K. (2007). Modeling time varying volatility and asymmetry of Karachi Stock Exchange.(Online) Available: http://ssrn.com/abstract=964898