THE RELATIONSHIP BETWEEN STOCK RETURNS VOLATILITY AND TRADING VOLUME IN NIGERIA Cover Image

EKONOMINIO NUOSMUKIO POVEIKIS REGIONŲ VALDŽIOS BENDROSIOMS PAJAMOMS RUSIJOJE
THE RELATIONSHIP BETWEEN STOCK RETURNS VOLATILITY AND TRADING VOLUME IN NIGERIA

Author(s): Emenike Kalu O., Opara Confidence Chinwe
Subject(s): Economy
Published by: Mykolas Romeris University
Keywords: volatility persistence; trading volume; GARCH models; Nigeria stock market

Summary/Abstract: This paper investigates the relationship between stock returns volatility and trading volume in Nigeria using daily All-Share Index and closing trading volume of the Nigerian Stock Exchange for the period of 3 January 2000 to 21 June 2011. The results of GARCH (1,1) and GARCH-X (1,1) models show that the relationship between trading volume and stock returns volatility is positive and statistically significant. However, the results do not support the hypothesis that persistence in volatility disappears with inclusion of trading volume in the conditional variance equation. This finding is consistent irrespective of the distribution.

  • Issue Year: 2014
  • Issue No: 2
  • Page Range: 115-124
  • Page Count: 11
  • Language: English
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