Stock Market Volatility And Non-Performing Loans: Evidence From Stocks Of The Nigerian Banks
Michael Olagunju and
Olusegun Adelodun ()
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Olusegun Adelodun: Obafemi Awolowo University
Authors registered in the RePEc Author Service: Idowu Oluwasayo Ayodeji ()
The African Finance Journal, 2013, vol. 15, issue 1, 82-104
This study examined the empirical relationship between stock market volatility and non-performing loans (NPL) of banks using the Exponential Generalized Autoregressive Heteroscedasticity (EGARCH) model. Taking into account the excess kurtosis in high frequency data, it estimated EGARCH model using generalized error distributions (GED). Results indicated a positive relationship between stock volatility and NPL. In addition, we found evidence to support an adverse asymmetric reaction with negative shock, on the average, increasing volatility more than the positive.
Keywords: EGARCH model; GED residuals; returns; heteroscedasticity (search for similar items in EconPapers)
JEL-codes: C13 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:afj:journl:v:15:y:2013:i:1:p:82-104
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