Open AccessStock Return Characteristics In A Thin Incipient Stock Market
Author(s) -
O. Felix Ayadi,
Lloyd P. Blenman,
C. Pat
Publication year - 2011
Publication title -
journal of applied business research
Language(s) - English
Resource type - Journals
eISSN - 2157-8834
pISSN - 0892-7626
DOI - 10.19030/jabr.v14i3.5709
Subject(s) - heteroscedasticity , stock market bubble , stock (firearms) , economics , stock market , econometrics , volatility (finance) , financial economics , growth stock , market maker , autoregressive conditional heteroskedasticity , stock exchange , monetary economics , finance , mechanical engineering , paleontology , horse , engineering , biology
This paper examines the distributional properties of stock returns in the Nigerian stock market. Because emerging stock markets present several institutional, political and economic barriers, we hypothesize that the structural adjustment program begun in 1986 resulted in a sustained increase in the variability of stock returns. Conventional variance homogeneity tests could not reject the hypothesis of changing volatility in the security returns process. However, the Lagrange multiplier test reveals the presence of autoregressive conditional heteroscedasticity (ARCH) effect in the stock returns.