Volatility Clustering, Leverage Effects, Risk Of Stock Returns And News Arrival In West African Emerging Markets: Evidence From Abidjan, Ghana And Nigeria

ERNEST IFEANYICHUKWU | 16 pages (96198 words) | Theses
Banking and Finance | Co Authors: NWAOCHA

ABSTRACT

Understanding the stock return volatility in emerging markets especially in policy formulation and investment decision making has been extensively explored in the financial literature. This research investigated the presence and pattern of volatility clustering, leverage effects, risk of stock returns and news arrival in emerging markets of West African sub region with evidence from Abidjan, Ghana and Nigeria. The study made use of un-aggregated data which covered the period from December 1, 2011 to January 31, 2019. Descriptive statistics was used to analyze the data while GARCH (1,1), GJR-GARCH (1,1), TGARCH (1,1) and GED GARCH models were used to test  the stated hypotheses. The results provided evidence to show that volatility clustering, leverage effects, persistent volatility and non-normality of stock return distributions characterized the return series across the selected markets and that trading volume (news arrival) significantly influenced the stock return volatility in West African emerging markets. The results also affirmed that yesterday’s volatility has greater influence in explaining today’s volatility and a significant risk premium was prevalent across the selected emerging markets. In comparative analysis, the study observed that stock return in Nigerian stock market is more volatile with higher risk premium than that of Ghana and Abidjan. The outcome of this study is of immense use to financial professionals, investors, market regulators and the government. The study recommended enhanced policies, quality trading instruments, robust capital markets, and stricter regulatory surveillance to checkmate the stylized facts of stock return volatility. The individual state governments within the sub region should control the bad news (insecurity, inflation and political unrest) which help to increase the fear index of investors, and influence investment decisions.       

 

 

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APA

ERNEST, I (2022). Volatility Clustering, Leverage Effects, Risk Of Stock Returns And News Arrival In West African Emerging Markets: Evidence From Abidjan, Ghana And Nigeria. Repository.mouau.edu.ng: Retrieved Feb 01, 2023, from https://repository.mouau.edu.ng/work/view/volatility-clustering-leverage-effects-risk-of-stock-returns-and-news-arrival-in-west-african-emerging-markets-evidence-from-abidjan-ghana-and-nigeria-7-2

MLA 8th

IFEANYICHUKWU, ERNEST. "Volatility Clustering, Leverage Effects, Risk Of Stock Returns And News Arrival In West African Emerging Markets: Evidence From Abidjan, Ghana And Nigeria" Repository.mouau.edu.ng. Repository.mouau.edu.ng, 17 Nov. 2022, https://repository.mouau.edu.ng/work/view/volatility-clustering-leverage-effects-risk-of-stock-returns-and-news-arrival-in-west-african-emerging-markets-evidence-from-abidjan-ghana-and-nigeria-7-2. Accessed 01 Feb. 2023.

MLA7

IFEANYICHUKWU, ERNEST. "Volatility Clustering, Leverage Effects, Risk Of Stock Returns And News Arrival In West African Emerging Markets: Evidence From Abidjan, Ghana And Nigeria". Repository.mouau.edu.ng, Repository.mouau.edu.ng, 17 Nov. 2022. Web. 01 Feb. 2023. < https://repository.mouau.edu.ng/work/view/volatility-clustering-leverage-effects-risk-of-stock-returns-and-news-arrival-in-west-african-emerging-markets-evidence-from-abidjan-ghana-and-nigeria-7-2 >.

Chicago

IFEANYICHUKWU, ERNEST. "Volatility Clustering, Leverage Effects, Risk Of Stock Returns And News Arrival In West African Emerging Markets: Evidence From Abidjan, Ghana And Nigeria" Repository.mouau.edu.ng (2022). Accessed 01 Feb. 2023. https://repository.mouau.edu.ng/work/view/volatility-clustering-leverage-effects-risk-of-stock-returns-and-news-arrival-in-west-african-emerging-markets-evidence-from-abidjan-ghana-and-nigeria-7-2

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