This study provides further evidence on the weak form efficiency of the Nigerian stock market, that is, whether security prices on the Nigerian stock market adjust to historical price information. Using correlation analysis, monthly stock returns data over the period January 1981-December 1992 were employed in the analysis. The results provided support for the work of Samuels and Yacout (1981) and Ayadi (1983), that is, the Nigerian stock market appears to be efficient in the weak form.Résumé: Cet article traite de la faible efficacité de la Bourse des valeurs du Nigeria, à savoir que, à partir de nouveaux éléments, il cherche à établir si les cours des titres cotés à la Bourse du Nigeria sont réajustés pour tenir compte des données chronologiques. A l'aide d'une analyse de corrélation, un examen des données mensuelles sur le rendement des titres, pour la période allant de janvier 1981 à décembre 1992, a été réalisé. Les résultats corroborent les travaux de Samuels et Yacout (1981) et ceux de Ayadi (1983), à savoir que la Bourse des valeurs du Nigeria semble être faiblement efficace.
This paper investigated the volatility of interbank call rates in Nigeria using GARCH (1, 1), EGARCH (1, 1), TS-GARCH (1, 1) and PARCH (1, 1) models in the light of the stock market crash and global financial crisis. Using data over the period, June 11, 2007 and May 20, 2009, volatility persistence and asymmetric properties are investigated for the Nigerian interbank call money market. The result shows that volatility is persistent. The hypothesis of asymmetry and leverage effect is rejected. It is found that the Nigerian interbank call money market returns show high persistence in the volatility but it shows clustering properties. The result shows the stock market crash and global financial crisis have impact on interbank call rate return but not on its volatility. The stock market crash and global financial crisis could have accounted for the sudden change in variance. The augmented TS-GARCH (1, 1) model is found to be the best model. Keywords:Interbank call rate, Stock market crash, Global Financial crisis, Volatility persistence, GARCH JEL: G01, G11, G12, G14, G21 IntroductionThe deregulation of the Nigerian financial environment following the introduction of the Structural Adjustment Programme (SAP) in Nigeria in September 1986 led to the increasing competition in the Nigerian banking industry, and the interbank market. The interbank market is the market for unsecured wholesale short term funds between banks. Bank lends and borrows in this market to smooth out its liquidity position so as to comply with statutory requirement placed on them. The major proportion of the dealing in this market is for very short term funds, i.e., overnight funds, and up to 3 months. However, some inter bank loans are for longer periods (up to one year). Interest rates are quoted for overnight or call money, 7 days' notice of withdrawal, 30 days, 60 days, 90 days, 180 days, 270 days and 360 days. The volatility of interbank call or overnight rates has been of concern to investors, analysts, brokers, dealers and regulators as the overnight or call funds constitute the bulk of the activities in the Nigerian money market. Market participants determine the interbank call rate according to their perceptions of the current and future liquidity condition in the market. Thus this rate reflects the supply and demand behavior of bank reserves, and gives important signals to the Central bank of Nigeria (CBN) to understand the market pressure. The interbank call rate also has a close link with other interest rates in the financial market and the foreign exchange rate. Interbank call rate volatility which represents the variability of interbank call rate changes which could be perceived as a measure of uncertainty of the interbank call rate shows how much economic behaviors are not able to perceive the directionality of the actual or future volatility of interbank call rate. Central banks conduct monetary policy in such a way that the interbank call rate does not deviate much from the central bank's monetary policy rate. Financial as...
This paper investigates the month-of-the-year effect in the UK Brent crude oil market using the GARCH (1,5) and GJR-GARCH (1,5) models in the light of Asian financial crisis and the global financial crisis using daily data over the period, January 4, 1988 and May 27, 2009. The result shows the presence of the month-of-the-year effect in volatility but not in the return in the oil market. However, the pattern of significance of monthly effect in volatility is affected by the choice of model. The significant month-of-the-year effect on volatility may be in line with information availability theoryThe result shows that the Asian financial crisis has an impact on the oil price return series while the global financial crisis has no impact on oil price returns. The Asian financial crisis and global financial crisis did not account for the sudden change in variance.
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