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Market Timing, Volatility and Stock Market Momentum Profit of Listed Firms in Nigeria

Author

Listed:
  • Musa Abdullahi Musa

    (Department of Taxation)

  • Yakubu, Umar Mumini

    (Department of Accounting)

  • MISA, Adamu Gassol

    (Department of Accounting)

Abstract

This study examines the link between market timing ability, volatility clustering and stock market momentum profit. The study used a sample of 52 listed firms across different industries in the Nigerian stock exchange, which was selected based on being listed from January 2016 to December 2020. Three momentum trading strategies were employed in the study for 3 months, 6 months and 9 months. The data collected were analysed using a cross-sectional regression model. It was found that the 3-month momentum strategy yields beer results compared to the six and the nine months strategy and that the 6 months strategy is between the 9 months strategy. The study also concludes th that volatility is most suited for predicting momentum profit at the 3 and 6 -month strategy. This is also linked to the fact that volatility clusters tend to last short as the market forces react immediately to market volatility; therefore, its effect is expected to last only a short time. The study also concludes that of the two variables studied, market timing is beer at explaining stock market momentum since it is significant across the three strategies used in the study. In line with the findings, the study recommends that investors in the stock market should concentrate more on the 3-month momentum trading strategy since it depicts predictable paerns. It is also recommended that timing is the most important factor to consider by investors in the market because its predictive ability is most consistent for the 3 different strategies used.

Suggested Citation

  • Musa Abdullahi Musa & Yakubu, Umar Mumini & MISA, Adamu Gassol, 2022. "Market Timing, Volatility and Stock Market Momentum Profit of Listed Firms in Nigeria," Multidisciplinary Journal of Management Sciences, Association of Forensic Accounting Researchers (AFAR), vol. 4(3), pages 181-196.
    • Handle: RePEc:ris:amjoms:0070
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    References listed on IDEAS

    as
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