The Relationship Between Stock Returns Volatility and Trading Volume in Nigeria

The Relationship Between Stock Returns Volatility and Trading Volume in Nigeria

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 tha...

Ausführliche Beschreibung

Gespeichert in:
Bibliographische Detailangaben
Veröffentlicht in:Verslo sistemos ir ekonomika 2014-07, Vol.4 (2), p.115-125
Hauptverfasser: Kalu O., Emenike, Chinwe, Opara Confidence
Format: Artikel
Sprache:eng
Schlagworte:
Automation
Hypotheses
New stock market listings
Rates of return
Return on investment
Securities markets
Securities trading
Stochastic models
Stock exchanges
Surveillance
Volatility
Online-Zugang:Volltext
Tags: Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
Beschreibung
Zusammenfassung: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.
ISSN:2029-8234
2029-8234
DOI:10.13165/VSE-14-4-2-01