Impact of Covid-19 on the Performance of The Nigeria`s Stock Market

Muideen Adejare Isiaka (), Modinat Omolara Ogunmolu (), Lukuman Olalekan Lamidi () and Saheed Timileyin Ogunmolu ()
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Muideen Adejare Isiaka: Department of Economics & Actuarial Sciences, Crescent University, Abeokuta, Ogun State. Nigeria
Modinat Omolara Ogunmolu: Department of Economics & Actuarial Sciences, Crescent University, Abeokuta, Ogun State. Nigeria
Lukuman Olalekan Lamidi: Federal College of Animal Health and Production Technology, Moor Plantation, Apata, Ibadan, Oyo State, Nigeria
Saheed Timileyin Ogunmolu: Department of Economics & Actuarial Sciences, Crescent University, Abeokuta, Ogun State. Nigeria

Business & Management Compass, 2021, issue 3, 294-308

Abstract: This study identifies the structural break date in the series of All Share Index (ASI) of the Nigeria’s capital market using innovational outlier methodology with the Augmented Dickey-Fuller unit root with structural break test. The study also examines the descriptive characteristics and model structure of ASI before and after the identified break date using ARIMA methodology. It uses daily data of ASI from November 27, 2018 to November 24, 2020. The results indicate that the break date is March 6, 2020. The mean results decreased after the break. The series before the break follows ARIMA (3,1,12), while it follows ARIMA (7,1,9) after the break. The diagnostic test revealed that the ARIMA (7,1,9) fails to capture the entire variation in the series. The modified model for post break period is AR(7), MA(8) and MA(9) process. However, the estimated volatility of the series decreased after the break. The study recommends that capital market studies and policies going forward should incorporate the impact of Covid-19 induced structural break.

Keywords: Covid-19; Stock Market; All Share Index; Structural Break; ARIMA (search for similar items in EconPapers)
JEL-codes: G01 G40 G41 (search for similar items in EconPapers)
Date: 2021
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