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 499
- 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...
DEVELOPING AN EARLY WARNING SYSTEM FOR FINANCIAL CRISES IN VIETNAM
In this paper, we develop an applicable early warning model that can predict financial crises for Vietnam. To achieve this goal, we analyze and extend the existing early warning models which have been developed by Kamins...
ECONOMETRIC ANALYSIS OF EXCHANGE RATE AND EXPORT PERFORMANCE IN A DEVELOPING ECONOMY
The study investigated the causal relationship between currency exchange rate (EXR) and export growth (EXP) in Nigeria, Africa?s largest economy and most populous nation. The study used econometric tools for the analysis...
VOLATILITY MEAN REVERSION AND STOCK MARKET EFFICIENCY
Traditional econometric models, such as the ordinary least square method, are built on the assumption of constant variance. Financial time series, unlike other economic series, usually exhibit a set of peculiar character...
MONETARY UNCERTAINTY AND DEMAND FOR MONEY IN KOREA
Friedman’s volatility hypothesis asserts that increased volatility of money supply can lower the velocity of money or increase the demand for money. Previous studies have tested this hypothesis by using data from a few i...