EVALUATING VOLTALITY PERSISTENCE OF STOCK RETURTN IN THE PRE AND POST 2008-2009 FINANCIAL MELTDOWN

Kamaldeen Ibraheem Nageri ()
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Kamaldeen Ibraheem Nageri: Al-Hikmah University, Nigeria

Copernican Journal of Finance & Accounting, 2019, vol. 8, issue 3, 75-94

Abstract: The Nigerian stock market capitalization in 2007 was N 13.181 trillion but due to the meltdown, it reduced to N 7.030 trillion in 2009, indicating over 40% loss of investor’s value. The government, through Securities and Exchange Commission (SEC) introduced policies to stem the tide of the crisis. Therefore, this study evaluate volatility persistence of return in the market during pre and post meltdown. The mean reverting and half-life volatility shock of the GARCH model under three error distribution was employed. Finding indicates that return on the exchange exhibit high volatility magnitude after the meltdown but very low volatility magnitude before the meltdown. The generalized error distribution give the best estimate for pre and post meltdown. The study recommend the need to strictly monitor, restrict and regulate desperately optimistic noise (rumour) traders (investors) in the market, shorting to make money.

Keywords: volatility persistence; stock market; financial meltdown; GARCH; mean reverting (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:cpn:umkcjf:v:8:y:2019:i:3:p:75-94

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