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


  • Ayakeme E Whisky


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.

Suggested Citation

  • Ayakeme E Whisky, 2015. "An Empirical Analysis of Stochastic Implications of Stock Price Movements in the Nigerian Capital Market," International Finance and Banking, Macrothink Institute, vol. 2(2), pages 39-51, December.
  • Handle: RePEc:mth:ifb888:v:2:y:2015:i:2:p:39-51

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    References listed on IDEAS

    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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