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Are the S&P 500 index and crude oil, natural gas and ethanol futures related for intra-day data?
Caporin, Massimiliano; Chang, Chia-Lin; McAleer, Michael - In: International review of economics & finance : IREF 59 (2019), pp. 50-70
Persistent link: https://www.econbiz.de/10012202481
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A test of Fama's efficient capital market's II position in the Nigerian bourse
Idolor, Eseoghne Joseph; Braimah, Abdulganiyu - In: Indian journal of economics & business : IJEB 14 (2015) 3, pp. 375-398
Persistent link: https://www.econbiz.de/10011452889
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Estimating bull and bear betas for the Nigerian stock market using logistic smooth threshold model
Tumala, Mohammed M.; Yaya, OlaOluwa S. - In: CBN journal of applied statistics 6 (2015) 1, pp. 263-284
In this paper, we examine the Nigerian stock market sector returns and estimate the bull and bear betas using the Logistic Smooth Threshold Market (LSTM) model. The LSTM model specification follows from the linear Constant Risk Market (CRM) model. We estimate the LSTM model for the overall...
Persistent link: https://www.econbiz.de/10011473527
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Testing volatility in Nigeria stock market using GARCH models
Atoi, Ngozi V. - In: CBN journal of applied statistics 5 (2014) 2, pp. 65-93
The contributions of error distributions have been ignored while modeling stock market volatility in Nigeria and …. Using Nigeria All Share Index from January 2, 2008 to February 11, 2013, this study estimates first order symmetric and …
Persistent link: https://www.econbiz.de/10011489480
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A comparative analysis of the three-factor and the capital asset pricing models in the Nigerian stock market
Ajao, M. Gabriel; Igbinosa, Sunday - In: Asian African journal of economics and econometrics 14 (2014) 2, pp. 237-257
Persistent link: https://www.econbiz.de/10010485806
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Relationship between inflation and stock market returns : evidence from Nigeria
Omotor, Douglason Godwin - In: CBN journal of applied statistics 1 (2010) 1, pp. 1-15
Nigeria for the period 1985 to 2008. The findings of this paper seem to suggest that stock market returns may provide an … effective hedge against inflation in Nigeria. …
Persistent link: https://www.econbiz.de/10011477682
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Stock returns, inflation and the "Reverse Causality" hypothesis : evidence from Nigeria
Anyiwe, Mercy A.; Igbinedion, Sunday Osahon - 2015
Persistent link: https://www.econbiz.de/10011294277
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Assessing Market Volatility on Daily Stock Returns Using GARCH - Evidence from Nigeria
Onoh, John Okey - 2016
Adequate knowledge about the volatility, performance and efficiency of stock returns remains vital and essential information to investors. These will guide not only investment decisions but also planning for economic growth and development. Given that the Nigerian Stock Exchange has existed, its...
Persistent link: https://www.econbiz.de/10012986329
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Markov regime-switching autoregressive model of stock market returns in Nigeria
Adejumo, Oluwasegun A.; Albert, Seno; Asemota, Omorogbe J. - In: CBN journal of applied statistics 11 (2020) 2, pp. 65-83
This study is designed to model and forecast Nigeria's stock market using the AllShare Index (ASI) as a proxy. By …
Persistent link: https://www.econbiz.de/10012513279
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Estimation of equity betas in an emerging stock market : the Nigerian case
Nwude, E. Chuke - In: Asian Journal of Empirical Research 3 (2013) 6, pp. 725-737
markets with particular reference to Nigeria. Beta is a major component of the capital Asset Pricing Model (CAPM) used in the … the (historical) betas of the listed banks in Nigeria.The paper discovered that the most volatile banking stock during the …
Persistent link: https://www.econbiz.de/10009779152