Foreign Exchange News Announcements and the Volatility of Stock Returns in Nigeria

Joshua Odutola Omokehinde (), Matthew Adeolu Abata () and Stephen Oseko Migiro ()
Additional contact information
Joshua Odutola Omokehinde: Department of Accounting and Banking & Finance, Olabisi Onabanjo University, Ago-Iwoye, Ogun State, Nigeria
Matthew Adeolu Abata: Graduate School of Business and Leadership, University of KwaZulu-Natal, Westville Campus, Durban, South Africa
Stephen Oseko Migiro: Graduate School of Business and Leadership, University of KwaZulu-Natal, Westville Campus, Durban, South Africa

SPOUDAI Journal of Economics and Business, 2017, vol. 67, issue 3, 3-17

Abstract: This paper examines the effect of foreign exchange news announcements on the volatility of stock returns in Nigeria, using the daily closing All-Share Index from The Nigerian Stock Exchange from 2000 to 2015. We extended existing literature by augmenting the EGARCH econometric model with exchange news announcements to specify both the conditional mean and volatility equations. The empirical results revealed a positive and significant effect of exchange news announcements on stock market volatility in Nigeria under symmetric conditional variance. However, there was strong evidence of asymmetric effect with negative exchange news which caused volatility to rise more following a large price rise than following a price fall of the same magnitude. The total impact of bad news had more distabilising effect on volatility than good news. The sum of ARCH and GARCH coefficients (á + â = 0.9) is approximately close to unity – indicating strong evidence of volatility persistence in the Nigerian stock market.

Keywords: Volatility; stock returns; exchange news; asymmetric; volatility persistence. (search for similar items in EconPapers)
JEL-codes: C22 C58 G12 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://spoudai.unipi.gr/index.php/spoudai/article ... /2641/2605-3164-1-SM (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:spd:journl:v:67:y:2017:i:3:p:3-17

Access Statistics for this article

More articles in SPOUDAI Journal of Economics and Business from SPOUDAI Journal of Economics and Business, University of Piraeus Contact information at EDIRC.
Bibliographic data for series maintained by SPOUDAI Journal of Economics and Business ().