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The relationship between stock returns volatility and trading volume in Nigeria

Business Systems and Economics

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Title The relationship between stock returns volatility and trading volume in Nigeria
Ryšys tarp akcijų grąžos nepastovumo ir prekybos apimčių Nigerijoje
 
Creator Kalu, Emenike Onwukwe; Rhema University
Chinwe, Opara Confidence; Michael okpara University
 
Subject volatility persistence; trading volume; GARCH models; Nigeria stock market
G12; G14
nestabilumas; prekybos apimtys; GARCH modeliai; Nigerijos akcijų rinka
G12; G14
 
Description This paper investigates the relationship between stock returns volatility and trading volume in Nigeria using daily All-Share Index and closing trading volume of the Nigerian Stock Exchange for the period of 3 January 2000 to 21 June 2011. The results of GARCH (1,1) and GARCH-X (1,1) models show that the relationship between trading volume and stock returns volatility is positive and statistically significant. However, the results do not support the hypothesis that persistence in volatility disappears with inclusion of trading volume in the conditional variance equation. This finding is consistent irrespective of the distribution.
Šiame straipsnyje nagrinėjamas ryšys tarp akcijų grąžos nestabilumo ir prekybos apyvartos Nigerijoje, remiantis dieniniais All-share indekso pokyčiais ir prekybos apyvarta pagal uždarymo duomenis Nigerijos vertybinių popierių biržoje laikotarpiu nuo 2000 m. sausio 3 d. iki 2011 m. birželio 21 d. GARCH (1,1) ir GARCH-X (1,1) modelių rezultatai rodo, kad tarp prekybos apyvartos ir akcijų grąžos nestabilumo yra teigiamas ir statistiškai reikšmingas ryšys. Tačiau gauti rezultatai nepatvirtina išsikeltos hipotezės, kad nestabilumas išnyksta, kai į sąlyginio variantiškumo lygtį įtraukiamas prekybos apyvartos veiksnys. Ši išvada nekinta nepriklausomai nuo dispersijos.
 
Publisher Mykolo Romerio Universitas
 
Contributor Dr. Wilson Ani, Department of Banking and Finance, Michael Okpara University
Dr. Arua Nnachi, Department of Banking and Finance, Ebonyi State University..
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Date 2014-10-29
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
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Format application/pdf
 
Identifier https://www3.mruni.eu/ojs/business-systems-and-economics/article/view/1893
10.13165/VSE-14-4-2-01
 
Source Business Systems & Economics; Vol 4, No 2 (2014): Business Systems & Economics; 115-125
Verslo sistemos ir ekonomika; Vol 4, No 2 (2014): Business Systems & Economics; 115-125
2029-8234
 
Language eng
 
Relation https://www3.mruni.eu/ojs/business-systems-and-economics/article/view/1893/3727
https://www3.mruni.eu/ojs/business-systems-and-economics/article/downloadSuppFile/1893/84
 
Rights Copyright (c) 2014 Business Systems & Economics