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Risk - Return Relationship: Nigerian Stock Market during Pre and Post 2007-2009 Financial Meltdown

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  • Kamaldeen Ibraheem Nageri
  • Azeez Tunbosun Lawal
  • Falilat Ajoke Abdul

Abstract

Financial crises are economic phenomena often heralded by asset and credit booms or bubbles. This study examines risk-return relationship in the context of Nigeria during pre and post financial meltdown of 2007-2009. GARCH-in-mean models under three error distributional assumptions were used. The data span from January 2010 to December 2016. Findings shows negative risk- return relationship in the pre and post meltdown, indicting investor face higher risk in relation to return in the Nigerian stock market. The study recommended strict monitoring, restriction and regulations to discourage desperately optimistic noise (rumour) traders (investors) in the market, shorting to make money.

Suggested Citation

  • Kamaldeen Ibraheem Nageri & Azeez Tunbosun Lawal & Falilat Ajoke Abdul, 2019. "Risk - Return Relationship: Nigerian Stock Market during Pre and Post 2007-2009 Financial Meltdown," Academic Journal of Economic Studies, Faculty of Finance, Banking and Accountancy Bucharest,"Dimitrie Cantemir" Christian University Bucharest, vol. 5(2), pages 52-62, June.
    • Handle: RePEc:khe:scajes:v:5:y:2019:i:2:p:52-62
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    Cited by:

    1. Abraham Oketooyin GBADEBO & Yusuf Olatunji OYEDEKO, 2022. "Effect Of Liquidity Risk On Low Volatility Anomaly In Nigerian Stock Market," Contemporary Economy Journal, Constantin Brancoveanu University, vol. 7(3), pages 25-42.

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    More about this item

    Keywords

    Risk; return; financial meltdown;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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