| Título: | Modeling Asymmetric Volatility in the Nigerian Stock Exchange |
| Autores: |
Kalu O., Emenike Friday, Aleke Stephen |
| Fecha: | 2012-09-09 |
| Publicador: | European Journal of Business and Management |
| Fuente: |
 |
| Tipo: |
info:eu-repo/semantics/article Peer-reviewed Article info:eu-repo/semantics/publishedVersion |
| Tema: | No aplica |
| Descripción: | This paper examines the response of volatility to negative and positive news using daily closing prices of the Nigerian Stock Exchange (NSE). By applying EGARCH (1,1) and GJR-GARCH (1,1) models to NSE daily stock return series from January 2nd 1996 to December 30th 2011, we find strong evidence supporting asymmetric effects in the NSE stock returns but with absence of leverage effect. Specifically, the estimates from EGARCH model show positive and significant asymmetric volatility coefficient. In the same way, results of the GJR-GARCH model show negative and significant asymmetric volatility coefficient, also supporting the existence of positive asymmetric volatility. Overall results from this study provide support for positive news producing higher volatility in the immediate future than negative news of the same magnitude in Nigeria. Keywords: Returns volatility, Asymmetric effects, GARCH models, Nigerian Stock Exchange. |
| Idioma: | Inglés |
1 | 6 Factors Influencing Jobs Satisfaction in Two Chinese Universities por Tian, Heng,Yu, Heyuan |
2 Ethics of Investment and the Social Responsibilities of the Islamic Banks por Mounira, ARAB,Gabanni, Abdul | 7 Entrepreneurial Competencies and Entrepreneurial Spirit in Japan por Wong, Hajimasi |
3 An Empirical Study on the Knowledge Sharing Behaviour among Employees in Small Enterprises por Vonartas, Alexander | 8 Necessity and Feasibility of Supervisory Management Style por Tu, Yiyuan,Zhuang, Tianhua |
4 | 9 The Intercultural Communication Theory and the Distributed Decision-Making por Muhammad, Siti |
5 A New Approach to Evaluate the Auditor Reporting Quality por Mohammed, Syed,Jubair, Abdullah | 10 |