Evaluating Good and Bad News During Pre and Post Financial Meltdown: Nigerian Stock Market Evidence

Abstract

The Nigerian stock market, prior to the 2007-09 global financial crisis witnessed growth but the market encountered sharp reversal from 2007 due to the global financial crisis. This study evaluates good and bad news on the Nigerian stock market with regards to the policy responses as a result of the meltdown. The study used the TGARCH, EGARCH and PGARCH models under three error distributional assumptions for data covering January 2010 to December 2016 using the All Share Index to generate the return series. Findings shows that good news impact return more than negative news of the same magnitude before the meltdown while bad news insignificantly impact return more than positive news after the meltdown. The study concludes that there is information asymmetry in the Nigerian stock market. Thus, it is recommended that on-line real time access to share price movement for investors should be introduced to improve liquidity level and enhance free flow of relevant securities information.

Risk-Return Relationship in the Nigerian Stock Market During Pandemic Covid-19: Sectoral Panel Garch Approach

“…The risk-return relationship on stock returns has been a major area of research and studies had been conducted such as Nageri (2019a), Coffie (2015), Alade, Adeusi and Alade (2020), Ashraf (2020), Salisu and Vo (2020), Azimli (2020), among others. Ashraf (2020) examined the stock markets' response to the COVID-19 pandemic in 64 countries between the period January 22, 2020, to April 17, 2020, employed panel data regression analysis technique and the finding suggests a strong negative market reaction throughout the early days of confirmed cases of COVID-19 and later between 40 to 60 days after the initial confirmed cases of COVID-19.…”

“…Alade et al (2020) investigates the connection between COVID-19 confirmed cases and Nigerian stock market capitalization used the Vector regression model and finds that confirmed cases of COVID-19 have a mixed association, which is a negative but statistically insignificant relationship to the Nigerian stock market equity capitalization. Nageri (2019a) evaluates positive and negative news on the Nigerian stock market before and after the 2018/19 financial meltdown, employed GARCH variant models of TGARCH, EGARCH and PGARCH. The study reveals that good news influence stock return more signifi-cantly than bad news of similar extent before the meltdown, but bad news have a more insignificant impact on stock return than the good of similar extent after the meltdown.…”