IDEAS home Printed from https://ideas.repec.org/a/asi/aeafrj/v3y2013i10p1298-1313id1090.html
   My bibliography  Save this article

Returns on Investments and Volatility Rate in the Nigerian Banking Industry

Author

Listed:
  • LAWAL A. I
  • OLOYE M. I
  • OTEKUNRIN A. O
  • AJAYI S. A

Abstract

Most investment decisions focus on a forecast of future events that is either explicit or implicit. Generally asset pricing models postulate a positive relationship between a stock portfolio’s expected returns and risk, which is often modelled by the variance of the asset price. The essence of this paper is to use GARCH in mean and EGARCH to examine the relationship between mean returns on the Nigeria commercial banks portfolio investments and its conditional variance or standard deviation. After estimating a variety of models from Central Bank of Nigeria Statistical Bulletin 2010 data, we found out that using the GARCH in mean a positive and significant relationship exist between commercial bank portfolio return and volatility, while the EGARCH model gives a negative relationship. We suggest that market operators should try as much as possible to prevent avoidable bad news.

Suggested Citation

  • Lawal A. I & Oloye M. I & Otekunrin A. O & Ajayi S. A, 2013. "Returns on Investments and Volatility Rate in the Nigerian Banking Industry," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 3(10), pages 1298-1313.
    • Handle: RePEc:asi:aeafrj:v:3:y:2013:i:10:p:1298-1313:id:1090
    as

    Download full text from publisher

    File URL: https://archive.aessweb.com/index.php/5002/article/view/1090/1597
    Download Restriction: no
    ---><---

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:asi:aeafrj:v:3:y:2013:i:10:p:1298-1313:id:1090. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Robert Allen (email available below). General contact details of provider: https://archive.aessweb.com/index.php/5002/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.