Financial liberalization, stock market, volatility, investors, capital accumulation.
This study attempted to investigate the impact of financial liberalization on stock market volatility in Nigeria. This purpose was achieved by hypothesizing that financial liberalization has a significant impact on stock market volatility in Nigeria. This was supported by a review of theoretical and empirical literature on the subject-matter. A longitudinal survey design which covers the period of 1981 – 2012 was employed in generating data on financial liberalization and stock market volatility from the central Bank of Nigeria Statistical Bulletin. The data generated were analysed using the regressing analysis. The findings revealed that financial liberalization has a negative but insignificant impact on stock market volatility in Nigeria. It was therefore recommended that a good knowledge of financial liberalization is needed to enable financial experts and economy analysts effectively predict stock prices in order to stabilize the stock market.
Full Text : PDF
- Benita, G. and Lauterbach, B. (2004) Policy, factors and exchange rate volatility- panal data versus a specific country analysis; Research Unit, Foreign Exchange Activity Department; Bank of Israel; Jerusalem.
- Bollerslev, T. (1986) Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics 31: 307-327.
- Caves, R. and Jones, R. (1991) World trade and payment; Little and Brown and Co. (Anode) Ltd., p. 98.
- CBN (2000) Statistical bulletin; Annual Publication of Central Bank of Nigeria, Statistical Department, Vol. 18
- Choi, D.F.S (2008) Volatility spillovers between stock market returns and exchange rate changes. the New Zealand cases; International Journal of Modern Economics; 2(1); 64 – 83
- Chortareas, G.E; McDernott, J.B and Ristsatos, T.E (2000) Stock market volatility in an emerging market-further evidence from the Athens stock exchange”, Journal of Business Finance and Accounting; Vol. 27; No 7; pp 983.
- Davis, N. and Kutan, A.M. (2003) Inflation and output as predictors of stock returns and volatility: international evidence; Applied Financial Economics, 13: 693-700.
- Engle, R. F. (1982) Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation; Econometrica 50(4): 987- 1007.
- Engle, R.F and J.G Rangel (2005) The SPLINE GARCH model for unconditional volatility and its global microeconomics causes; Paper presented at the World Congress of the Econometric Society, London.
- Eriki, P.O. and Udegbunam, R.I. (2001) Inflation and stock price behaviour: evidence from Nigerian stock market; Journal of Financial Management and Analysis- International Review of Finance; 14(1) 1-10
- Granger, C.E (2000) A bivariate causality between stock prices and exchange rates: evidence from recent Asian fly, Quarterly Review of Economics and Finance; 40(3); 337-354.
- Hamilton, J.D. and Lin, G. (1996) Stock market volatility and the business cycle; Journal of Applied Econometrics, 11:573-593.
- Huang, R.D. and Kracaw, W.A (1994) Stock market returns and real activity: A Note”. Journal of Finance, 39: 267-72.
- Ibrahim, M.H. (2000) Cointegration and granger causality tests of stock price and exchange rate interactions in Malaysia, Asian Economic Bulletin 17(1): 36-46.
- Imafidon, K. and Amos, A.O. (2008) Company fundamentals as determinants of stock prices; Finance and Banking Review (FBR), 2(1 );.69-80
- Imoye, A. (2009) Global financial crisis, stock exchange crash and the lessons from Nigeria. www.businessdaylonline.com
- Kanas, A. (2000) Volatility spillover between stock returns and exchange rate changes, Journal of Business Finance and Accounting, 27, 448-468.
- Kaul, G. (1987) Stock returns and inflation: the role of monetary sector; Journal of Financial Economics, 18:253-276.
- Ming-Shiun, P. Chi-Wing, F.R and Liu, Y.K (2007) Dynamic linkages between exchange rates and stock prices: Evidence from East Asian Markets”, nt. Rev. Con. Finance. 16:503-520.
- Mishkin, F.S (2001) The economics of money, banking and financial markets; New York: Addison Wesley.
- Mishra, K.A (2004) Stock market and foreign exchange market in India- are they related? South Asia Economic Journal 5(2) 1774-187
- Morley, B. and Pentecost, J.E. (2000), Common trends and cycles in G-7 Countries exchange rates and stock prices; Applied Economic Letters, 7:7-10.
- Ndri. K. L. (2008) The effects of interest rates volatility on stock returns and volatility: evidence from Korea; International Research Journal of Finance and Economics, Issue 14; 285-290.
- Nwokoye, G. A (2012) Financial openness, inflation and exchange rate and Nigerian stock market volatility: an econometric investigation; Ph.D Seminar Paper Presented to the Department of Business Administration, University of Benin, Benin City
- Oduntan, S. (2008) The NSE and the financial crisis
- www.allafrica.com/stories/200811630342.
- Okoye, P.V.C and Akamobi, L.N. (2009) The impact of global financial meltdown on capital formation - a study of the Nigerian stock market; Journal of Business and Financial Studies; Vol. 1; No 1;50-53.
- Okwoli, A.A. (2009) The use of ratios in financial analysis and prediction of financial crisis; in Mainoma, M. (Ed.) Financial Management and Control; Kaduna; Joyce publishers.
- Osamwonyi, I.O. and Akingunola, R.O. (2008) An analysis of the returns variability of selected Nigerian quoted stocks; Management Sciences Review; Vol. 1; No 1;78.
- Rizwan, M.F and Khan, S.U (2007) Stock return volatility in emerging equity market- the relative effects of country and global factors; International Review of Business Research Papers, 3(2) pp. 362375
- Saryal, F.S. (2007) Does inflation have an impact on conditional stock market volatility; evidence from Turkey and Canada; International Research Journal of Finance and Economics 11:123-133.
- Schnabl, G. (2007) Exchange rate volatility and growth in small open economies at the EMI Periphery; ECB Working Paper No. 773.
- Schwert, W.G. (1989) Why does stock market volatility change over time; Journal of Finance; 44(11) 15-1153
- Sentana, E. (1995) Quadratic ARCH models; Review of Economic Studies, 62:639:661.
- Serven, L. (2003) Real exchange rate uncertainty and private investment in Developing Countries; Review of Economics and Statistics, 85, 212-217.
- Shittu, O.I and Yaya, 0.S. (2010) On the impact of inflation and exchange rate on conditional stock market volatility - a re-assessment; American Journal of Scientific and Industrial Research; Vol. 1, (2); pp. 116.
- Solnik, B. (1987) Using financial prices to test exchange rate models-a note; Journal of Finance, 42, 141-149.
- Straumann, D. (2005) Estimation in conditionally heteroscedastic time series models; Berlin; Springer-Verlag.
- Tsay, R.S. (2005) Analysis of financial time series; Wiley Interscience, 2 Edition.
- Yang, S.Y and Hsu, H.C (2009) Financial openness and dynamic stock market integration; A Proposal to the 2009 FMA Meeting; National Chung Hsing University, Taiwan.
- Yucel, T. and Kurt G. (2003) Foreign exchange rate sensitivity and stock prices- estimating economic exposure of Turkish firms. Madrid: European Trade Study Group.