Open AccessAn Empirical Analysis of Stochastic Implications of Stock Price Movements in the Nigerian Capital Market
Author(s) -
Ayakeme Ebiwarefa Whisky
Publication year - 2015
Publication title -
international finance and banking
Language(s) - English
Resource type - Journals
ISSN - 2374-2089
DOI - 10.5296/ifb.v2i2.8743
Subject(s) - inefficiency , homoscedasticity , autoregressive conditional heteroskedasticity , volatility clustering , economics , volatility (finance) , econometrics , stock market , financial economics , heteroscedasticity , stock (firearms) , capital market , monetary economics , finance , geography , market economy , context (archaeology) , archaeology
The study provides further empirical insight to the behavior of stocks in four selected sectors of the Nigerian economy using the Runs and GARCH techniques to analyze monthly stock data for the period January 2006 to December, 2011. The results of the Runs Test do not support random movements of stocks in all the sectors, indicating homoscedasticity. The GARCH estimated model also shows volatility clustering in all the sectors except the Agricultural sector, which implies weak form inefficiency of the Nigerian capital market.