Udegbunam, Raphael I.; Oaikhenan, Hassan E. - In: Journal of Emerging Market Finance 11 (2012) 1, pp. 93-113
The article empirically examines the response of stock prices in the Nigerian Stock Market to interest rate risk, using the Duration and Convexity model. A simple non-linear stock price model that incorporates measure of interest rate duration and convexity and a vector containing a battery of...