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An Empirical Analysis of Stochastic Implications of Stock Price Movements in the Nigerian Capital Market

Listed author(s):
  • Ayakeme E Whisky
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    The study provides further empirical insight to the behavior of stocks in four selected sectors of the Nigerian economy using the Runs and GARCH techniques to analyze monthly stock data for the period January 2006 to December, 2011. The results of the Runs Test do not support random movements of stocks in all the sectors, indicating homoscedasticity. The GARCH estimated model also shows volatility clustering in all the sectors except the Agricultural sector, which implies weak form inefficiency of the Nigerian capital market.

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    File URL: http://www.macrothink.org/journal/index.php/ifb/article/view/8743/7140
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    File URL: http://www.macrothink.org/journal/index.php/ifb/article/view/8743
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    Article provided by Macrothink Institute in its journal International Finance and Banking.

    Volume (Year): 2 (2015)
    Issue (Month): 2 (December)
    Pages: 39-51

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    Handle: RePEc:mth:ifb888:v:2:y:2015:i:2:p:39-51
    Contact details of provider: Web page: http://ifb.macrothink.org

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    1. John M. Maheu & Thomas H. McCurdy, 2007. "Components of Market Risk and Return," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 5(4), pages 560-590, Fall.
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