The impact of the 2004 bank capital announcement on the Nigerian stock market

Rufus Ayodeji Olowe

African Journal of Economic and Management Studies, 2011, vol. 2, issue 2, 180-201

Abstract: Purpose - This paper aims to investigate the impact of the introduction of the 2004 bank capital requirements on the quoted stock prices on the Nigerian stock market. Design/methodology/approach - Using monthly data over the period January 1986 to December 2006, residual analysis methodology was used to investigate stock price reaction to the 2004 bank capital requirements on the Nigerian stock market. Findings - The results show that the introduction of the 2004 bank capital requirements has a positive impact on quoted securities on the Nigerian stock market. This is reflected in positive abnormal returns from the Nigerian stock market when trading is based on the information from the 2004 bank capital requirements. The results are unaffected by the choice of model. This lends support for the work of Olowe that the Nigerian stock market is inefficient in the semi‐strong form. Originality/value - This study provides evidence on the stock price reaction to the introduction of the 2004 bank capital requirements on the Nigerian stock market. The result will have implications for the semi‐strong form efficiency of the Nigerian stock market.

Keywords: Event studies; Market efficiency; Banking reforms; Market model; Mean adjusted return model; Nigeria; Stock markets (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:eme:ajemsp:v:2:y:2011:i:2:p:180-201

DOI: 10.1108/20400701111176694

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