RETURNS ON INVESTMENTS AND VOLATILITY RATE IN THE NIGERIAN BANKING INDUSTRY
Journal Title: Asian Economic and Financial Review - Year 2013, Vol 3, Issue 10
Abstract
Most investment decisions focus on a forecast of future events that is either explicit or implicit. Generally asset pricing models postulate a positive relationship between a stock portfolio’s expected returns and risk, which is often modelled by the variance of the asset price. The essence of this paper is to use GARCH in mean and EGARCH to examine the relationship between mean returns on the Nigeria commercial banks portfolio investments and its conditional variance or standard deviation. After estimating a variety of models from Central Bank of Nigeria Statistical Bulletin 2010 data, we found out that using the GARCH in mean a positive and significant relationship exist between commercial bank portfolio return and volatility, while the EGARCH model gives a negative relationship. We suggest that market operators should try as much as possible to prevent avoidable bad news.
Authors and Affiliations
LAWAL A. I. | Department of Accounting and Finance, College of Business and Social Sciences, Landmark University, Nigeria, OLOYE M. I. | Department of Accounting and Finance, College of Business and Social Sciences, Landmark University, , Nigeria, OTEKUNRIN A. O. | Department of Accounting and Finance, College of Business and Social Sciences, Landmark University,, Nigeria, AJAYI S. A. | Department of Accounting and Finance, College of Business and Social Sciences, Landmark University, Nigeria
Keywords
Related Articles
- EP ID EP1962
- DOI -
- Views 495
- Downloads 23
ECONOMICAL EVALUATION OF USE OF SECOND HAND MACHINERY IN PETROCHEMICAL INDUSTRY (CASE STUDY: IRANIAN PETROCHEMICAL PROJECTS)
The high cost of purchasing high technology and severe sanctions imposed on Iran over the last decade are the reasons why economical alternatives should be assessed, such as the use of second hand technology. There is ev...
COMPARATIVE ANALYSIS OF PROFITABILITY OF LOCAL AND FOREIGN BANKS IN GHANA
The implementation of the Financial Sector Adjustment Programme has beckoned to a number of foreign banks to flock into the country to do business. This has brought about intense competition in the banking industry with...
SECURITY ISSUANCE AND STOCK PRICE EFFECTS WITH HETEROGENEOUS BELIEFS
We analyze the factors that affect security issuance and its impacts on the volatility of stock returns before and after the issuance under heterogeneous beliefs and short sale constraints using the issuing sample of con...
ACCOUNTING FROM A RELIGIOUS PERSPECTIVE: A CASE OF THE CENTRAL GOVERNMENT ACCOUNTING IN ISLAMIC REPUBLIC OF PAKISTAN
Purpose¬ - The purpose of this paper is to describe and analyze the role of religion (Islam) in the development of accounting at the central government in Islamic Republic of Pakistan.Design/methodology/approach – It is...
STOCK MARKET INTEGRATION IN WEST AFRICAN MONETARY ZONE: A LINEAR AND NONLINEAR COINTEGRATION APPROACH
The capital market plays a significant role in the development of an economy and hence an important determinant of regionalisation and single currency area formation. Stock and other capital markets have been found to pr...