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 558
- Downloads 32
FINANCIAL AND NON FINANCIAL DETERMINANTS OF CORPORATE SOCIAL RESPONSIBILITY
Accounting, economic, social and political, and slack resources theories provide different perspectives to addressing corporate social responsibility in relation to disclosure, corporate financial performance e.t.c. This...
CHILD BENEFITS AND WELFARE FOR CURRENT AND FUTURE GENERATIONS: SIMULATION ANALYSES IN AN OVERLAPPING-GENERATIONS MODEL WITH ENDOGENOUS FERTILITY
We constructed an overlapping-generations model with endogenous fertility to analyze the effects of child benefits and pensions on the welfare of current and future generations. The following results were obtained. First...
CAPITAL STRUCTURE DECISIONS AND FIRM PERFORMANCE OF VIETNAMESE SOES
This paper examines relationships between capital structure decisions, firm performance, and Vietnamese state-owned enterprises (SOEs). Capital structure decisions are considered by short- and long-term debts respectivel...
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...
THE SUSTAINABILITY OF FISCAL ADJUSTMENT PROCESS : A QUANTITATIVE APPROACH WITH AN APPLICATION TO TUNISIA
This study is a contribution to the literature concerning the sustainability of fiscal deficits in emerging economies. A novelty in this article is an attempt to check the sustainability of fiscal adjustment process moni...