Verifying the Effects of Risk Variables on Return Volatility of Sector Price Indices in the Nigeria Stock Exchange
Journal Title: Asian Economic and Financial Review - Year 2012, Vol 2, Issue 2
Abstract
The aim of this paper is to determine whether risk variables in particular interest rate and exchange rate play any important role in predicting sector price indices in the stock market. The stock market indices used include All-share index, banking index, insurance index, food and beverage index and oil and gas index .Index return and volatility is estimated using GARCH (1, 1).The findings revealed that exchange rate has a high negative influence on All-share index (ASI) and food and beverage index (FBI), while interest rate has a high significant negative impact on Oil and Gas Index (OGI). The variance of these indices also varies overtime. In other words, these indices exhibit volatility clustering. Worthy of note is that exchange rate (EXR) affects the volatility of the Food /Beverage index. It therefore implied that investors should watch this trend in return volatility changes before choosing their portfolio of investment for better risk management.
Authors and Affiliations
Okoli, Margaret Nnenna| Department of Financial Management, School of Management Technology, Federal University of Technology, Owerri, Imo State, Nigeria
Keywords
Related Articles
- EP ID EP1783
- DOI -
- Views 517
- Downloads 32
GLOBALIZATION AND UNEMPLOYMENT IN PAKISTAN
This study analyzes the impact of globalization on unemployment in Pakistan, using annual data for the period 1980 to 2013. Using the ARDL econometric framework, we find that the economic, political and social aspects of...
IMPACT OF WORKING CAPITAL MANAGEMENT ON FIRM PROFITABILITY: THE CASE OF LISTED MANUFACTURING FIRMS ON HO CHI MINH STOCK EXCHANGE
This study is aimed at investigating the relationship between working capital management and profitability. This study is based on a panel data of 98 manufacturing firms listed on Ho Chi Minh City Stock Exchange for a pe...
THE IMPACT OF TRADE LIBERALIZATION ON DEMAND AND PRICE VOLATILITY IN PAKISTAN: CO INTEGRATION APPROACH FOR COMPENSATION HYPOTHESIS
The important modification of the compensation hypothesis rests on the principle; increased trade openness increase the domestic economic volatility. The economic theory recommend increase of international trade require...
STOCK LIQUIDITY DETERMINATION EVIDENCE FROM AMMAN STOCK EXCHANGE
This study aims to investigate and examine the factors affecting stocks liquidity by using data of 100 share holding companies that represent Amman Stock Exchange (ASE) index in the recent period from 2011 to 2013. The r...
Economics and Business Department at Colorado College, 14 East Cache la Poudre, Colorado Springs
This paper aims to evaluate the impact of a microlending program on ameliorating measured poverty within its client population, with the aim of improving that impact. We analyze over 18,000 women micro-finance clients o...