Exchange Rate Volatility, Global Financial Crisis and the Day-of-the-Week Effect

Olowe, Rufus Ayodeji

doi:10.4314/kjbm.v3i3.72101

Cited by 6 publications

(3 citation statements)

References 0 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Furthermore, there is scanty evidence among various studies carried out on market anomalies of listed companies in Nigeria. Ajibola and Nwakanma, 2014;Alagidede, 2008;Oladayo, 2015;Olowe, 2011;Osazevbaru and Oboreh, 2014;Umar, 2013 all of which have failed to address stock market returns in a seasonal context providing a research gap which this study tends to fill. Furthermore, to the best of the researchers' knowledge, no study is known within the Nigerian context to extensively model seasonality in stock liquidity for a sample of non-financial listed companies in Nigeria.…”

Section: Statement Of Problemmentioning

confidence: 96%

Working Capital Management Firm Liquidity and Stock Market Seasonality: Evidence from Nigeria

2020

EJAAFR

View full text Add to dashboard Cite

This study examines the relationship between Working Capital Management Firm Liquidity and Stock Market Seasonality among quoted firms in Nigeria. Six hypotheses were formulated following the dependent variable of Stock Market Liquidity. The independent variables employed for this study include: Liquidity Ratio, Account Payable Day, Account Receivable Day, Inventory Day, Firm Leverage and Firm Size. This study is based on ex-post facto research design and employed a panel data set collected Fifty (50) non-financial companies over an eight year period ranging from 2011 to 2018 financial year. We analyzed the data set using descriptive statistics, correlation and Panel Ordinary Least Square Regression Analysis. Our finding lends credence to the efficient market theory which holds that share markets prices are unpredictable and as such cannot be forecasted. Specifically, the finding suggests that market liquidity cannot predict stock market returns irrespective of the season of the year. Hence, we carefully hold that the stock market in Nigeria is efficient due to its randomness and will rapidly respond to any information or anomalies presented to it. The study recommends among others that policy makers in emerging markets such as Nigeria should ease entry barriers for prospective firms so as to enhance liquidity. The study further recommends that, proper inventory management system should be put in place in order to avoid working capital mismanagement.

show abstract

Section: Statement Of Problemmentioning

confidence: 96%

Working Capital Management Firm Liquidity and Stock Market Seasonality: Evidence from Nigeria

2020

EJAAFR

View full text Add to dashboard Cite

show abstract

“…The review also disclosed that, apart from the stock market, seasonal effect has also been investigated for other commodity markets, such as the oil market and foreign exchange market. For instance, Olowe (2011) and Osarumwense (2016) in Nigeria studied the month-of-the-year and day-of-the-week, respectively, in oil market and foreign exchange market. That is to say, some of the calendar anomalies have been investigated in Nigeria.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Among anomalies, calendar anomaly is prominent. Osarumwense (2015) examined the day-of-the-week calendar effect, while Efayena (2014) and Olowe (2011) investigated the month-of-theyear calendar effect in Nigeria with the latter focusing on oil price returns as opposed to stock price returns.…”

Section: Introductionmentioning

confidence: 99%

Day-of-the-week effect in Nigerian stock exchange: adaptive market hypothesis approach

Adaramola

Adekanmbi

2020

Investment Management and Financial Innovations

View full text Add to dashboard Cite

The problems that this study informed are rooted in the uncertainty surrounding the presence of calendar anomalies in the Nigerian stock market and the need to ascertain whether calendar anomaly is changing with time and market condition according to the adaptive market hypothesis. This study evaluates how calendar anomaly behaves over time in the Nigerian stock market through the day-of-the-week effect since the latest trend is to examine time-changing anomaly. The general All Share Index returns of the Nigerian Stock Exchange between 2000 and 2017 are used in the analysis. Secondary daily index returns data for the period are sourced from the NSE Fact Book. The major estimation techniques employed in the study are the mean equations of the generalized autoregressive conditional heteroscedasticity (GARCH) and overlapping sub-period methodology. Moreover, returns are grouped into Up and Down periods depending on the periods that generate positive and negative returns, respectively. This study found out that Monday (MON), Tuesday (TUE), and Friday (FRI) effects are the only adaptive day-of-the-week effects. Thus, three (MON, TUE, FRI) day of the week effects found in the full sample are time-varying in subsample and are affected by market condition. On the whole, MON and Thursday (THUR) effects are found in Bull, while TUE and FRI are found in Bear. The investor must be careful to take time-variation into consideration; otherwise, they may incur a loss by thinking that the day-of-the-week effect is present every time.

show abstract

Day-of-the-week effect in the Nigerian Stock Market Returns and Volatility: Does the Distributional Assumptions Influence Disappearance?

Osabuohien-Irabor¹

2015

EFAJ

View full text Add to dashboard Cite

Abstract:This study assesses the influence of error distributional assumption on appearance or disappearance of day-of-the-week effects in returns and volatility using the Nigerian stock exchange (NSE-30). The Gaussian, Student-t, and the Generalized error distribution were incorporated in the GARCH (2,1) and EGARCH (2,1) models. Result reveals that day-of-the-week effects are sensitive to error distribution. Our finding also shows that evidence of good or bad news in volatility does not only depend on the asymmetric model but also the choice of the error distribution. Thus, this study will provide adequate knowledge to policy makers, investors and researchers about day-of-the-week effect in stock markets.

show abstract

Exchange Rate Volatility, Global Financial Crisis and the Day-of-the-Week Effect

Cited by 6 publications

References 0 publications

Working Capital Management Firm Liquidity and Stock Market Seasonality: Evidence from Nigeria

Working Capital Management Firm Liquidity and Stock Market Seasonality: Evidence from Nigeria

Day-of-the-week effect in Nigerian stock exchange: adaptive market hypothesis approach

Day-of-the-week effect in the Nigerian Stock Market Returns and Volatility: Does the Distributional Assumptions Influence Disappearance?

Contact Info

Product

Resources

About