Returns on Investments and Volatility Rate in the Nigerian Banking Industry

Lawal A. I, Martins Oloye, Otekunrin A. O and Ajayi S. A

Asian Economic and Financial Review, 2013, vol. 3, issue 10, 1298-1313

Abstract: Most investment decisions focus on a forecast of future events that is either explicit or implicit. Generally asset pricing models postulate a positive relationship between a stock portfolio’s expected returns and risk, which is often modelled by the variance of the asset price. The essence of this paper is to use GARCH in mean and EGARCH to examine the relationship between mean returns on the Nigeria commercial banks portfolio investments and its conditional variance or standard deviation. After estimating a variety of models from Central Bank of Nigeria Statistical Bulletin 2010 data, we found out that using the GARCH in mean a positive and significant relationship exist between commercial bank portfolio return and volatility, while the EGARCH model gives a negative relationship. We suggest that market operators should try as much as possible to prevent avoidable bad news.

Keywords: Commercial banks; EGARCH; GARCH-M; Investment; Returns; Volatility (search for similar items in EconPapers)
Date: 2013
References: Add references at CitEc
Citations:

Downloads: (external link)
https://archive.aessweb.com/index.php/5002/article/view/1090/1597 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:asi:aeafrj:v:3:y:2013:i:10:p:1298-1313:id:1090

Access Statistics for this article

More articles in Asian Economic and Financial Review from Asian Economic and Social Society
Bibliographic data for series maintained by Robert Allen ().