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- Nigeria (16)
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- Inflation (10)
- Cointegration (8)
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- Economic Growth (7)
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Articles 1 - 30 of 138
Full-Text Articles in Social and Behavioral Sciences
Enhancing Data Generation For National Development In Nigeria: Institutional And Structural Issues1, Olu Ajakaiye
Enhancing Data Generation For National Development In Nigeria: Institutional And Structural Issues1, Olu Ajakaiye
CBN Journal of Applied Statistics (JAS)
In this presentation, attention is focused on data generation for the purposes of reasoning, discussing and calculating the status, process and prospects of economic development. Economic development has also been defined in various ways. Again for the present purposes, economic development will be conceived as the process of economic growth and structural transformation (Ajakaiye, 2002). Clearly, data, as a gathered body of facts about the economy, is a basic requirement in the process of economic growth and transformation. Foremost, facts about the economy are necessary in order to appreciate the current state of the economy in terms of growth and …
Testing The Weak-Form Efficiency Market Hypothesis: Evidence From Nigerian Stock Market, Gimba K. Victor
Testing The Weak-Form Efficiency Market Hypothesis: Evidence From Nigerian Stock Market, Gimba K. Victor
CBN Journal of Applied Statistics (JAS)
In recent years, the Nigerian Stock Exchange (NSE) has witnessed an unprecedented growth in market capitalization, membership, value and volume traded. By December 2007, the All Share Index has grown massively over 57,990.2 from 1113.4 in January 1993. This rising interest in investment opportunities in the NSE raises questions about its efficiency. This paper tests the Weak-form Efficient Market Hypothesis of the NSE by hypothesizing Normal distribution and Random walk of the return series. Daily and weekly All Share Index and five most traded and oldest bank stocks of the NSE are examined from January 2007 to December 2009 for …
A Business Cycle Model For Nigeria, Alege O. Philip
A Business Cycle Model For Nigeria, Alege O. Philip
CBN Journal of Applied Statistics (JAS)
The current global financial meltdown draws, once again, attention to the existence of business cycle fluctuations. Experts are of the view that the ongoing crisis is far deeper than the great depression of the 1930s. It should be recalled that the Keynes and Keynesianism was a response to that depression. Therefore, the objective of this paper is to develop a small business cycle model in the spirit of Dynamic Stochastic General Equilibrium (DSGE) model for Nigeria designed to examine the sources of business cycles, and use the model for policy analysis. This paper considers the implications of three policy shocks …
Fiscal Federalism In Nigeria: A Cluster Analysis Of Revenue Allocation To States And Local Government Areas, 1999 – 2008, Sam O. Olofin, Olusanya E. Olubusoye, Bello K. Ajide, Salisu A. Afees, Olalekan S. Akinola
Fiscal Federalism In Nigeria: A Cluster Analysis Of Revenue Allocation To States And Local Government Areas, 1999 – 2008, Sam O. Olofin, Olusanya E. Olubusoye, Bello K. Ajide, Salisu A. Afees, Olalekan S. Akinola
CBN Journal of Applied Statistics (JAS)
Existing literature on revenue allocation in Nigeria shows more concern for merits and demerits of sharing principles and /or formulae. Several alternatives have been proposed and will continue to be developed to address the unending agitations from beneficiaries. Contrary however, this paper analyzes two items of revenue (statutory and VAT) shared among the states including FCT and all the Local Government Areas (LGAs) between May 1999 and December 2008. The net statutory allocation after deductions was also analyzed. Using Cluster analysis to evaluate revenue allocation in Nigeria, States and LGAs exhibiting similarity in revenue received were grouped and their common …
Threshold Effect Of Inflation On Economic Growth In Nigeria, Sani Bawa, Abdullahi S. Ismaila
Threshold Effect Of Inflation On Economic Growth In Nigeria, Sani Bawa, Abdullahi S. Ismaila
CBN Journal of Applied Statistics (JAS)
It is widely believed that price stability promote long-term economic growth, whereas high inflation is inimical to growth. This paper utilized a quarterly time series data for the period 1981 – 2009 to estimate a threshold level of inflation for Nigeria. Using a threshold regression model developed by Khan and Senhadji (2001), the study estimated a threshold inflation level of 13 per cent for Nigeria. Below the threshold level, inflation has a mild effect on economic activities, while above it, the magnitude of the negative effect of inflation on growth was high. The negative and significant relationship between inflation and …
Reactions Of Stock Market To Monetary Policy Shocks During The Global Financial Crisis: The Nigerian Case, Aliyu Shehu U.R.
Reactions Of Stock Market To Monetary Policy Shocks During The Global Financial Crisis: The Nigerian Case, Aliyu Shehu U.R.
CBN Journal of Applied Statistics (JAS)
This paper seeks to assess the reactions of Nigeria’s stock market to monetary policy innovations during the period of global financial crisis on the basis of monthly data over the period January, 2007 to August, 2011. In particular, stock market return was regressed against major monetary policy instruments; money stock (M1, and M2) and monetary policy rate (MPR). The theoretical basis for the paper stems from the works of new classical macroeconomics and rational expectation hypothesis (REH). Lucas (1972) postulated that only the unanticipated monetary shock influences real economic activity. Using the GARCH by developed Engle and Bollerslev (1986) and …
Simple Sequential Procedure For Modeling Of Item Non-Response In Econometric Analysis: Application To Cv Survey Data, William M. Fonta, Elias T. Ayuk, Eme H. Ichoku
Simple Sequential Procedure For Modeling Of Item Non-Response In Econometric Analysis: Application To Cv Survey Data, William M. Fonta, Elias T. Ayuk, Eme H. Ichoku
CBN Journal of Applied Statistics (JAS)
Item non-response occurs when respondents fail to provide answers to some or all of the questions posed during survey interviews. The standard procedure is to exclude such responses from the econometric analysis. This may be appropriate if the sample included does not differ significantly from those excluded in the analysis. If this is not the case, the econometric analyst faces a sample selection bias problem. The aim of this paper is to provide further evidence using a simple sequential procedure to deal with the problem when using non-randomly selected samples in social science research. The procedure entails different levels of …
Estimating A Fiscal Reaction Function For Nigeria, Patrick Ogiji, Kayode J. Ajayi
Estimating A Fiscal Reaction Function For Nigeria, Patrick Ogiji, Kayode J. Ajayi
CBN Journal of Applied Statistics (JAS)
The study examines the determinants of fiscal balance and the impact of the selected macroeconomic variables on the primary balance of government. It aims to estimate the fiscal reaction function for Nigeria and determine whether the implementation of fiscal policy is sustainable in the long-run. A Fiscal Reaction model was developed and ARDL technique was used to establish the relationships and interactions among the variables. The study investigated whether the fiscal measures pursued by the government from 2000:Q1 to 2018:Q4 was adequate in addressing the accumulation of huge debt. The analysis of the stylized facts reveals that the government had …
Portfolio Balance Approach To Asymmetries, Structural Breaks And Financial Crisis: Testing A Model For Nigeria, Portfolio Balance Theory, Oluwasegun B. Adekoya
Portfolio Balance Approach To Asymmetries, Structural Breaks And Financial Crisis: Testing A Model For Nigeria, Portfolio Balance Theory, Oluwasegun B. Adekoya
CBN Journal of Applied Statistics (JAS)
This study tests the Portfolio Balance Theory (PBT) for Nigeria for the period starting from September 1997 to September 2018. It extends the hypothesized linear inverse relationship between exchange rate and stock price to include asymmetries and structural breaks. It further examines the impact of the 2008 global financial crisis on the PBT to determine its stability after the crisis. The full sample results show that the PBT holds for Nigeria and asymmetries and structural breaks matter in the nexus between stock price and exchange rate. However, the impact of stock price on exchange rate diminished in the long-run with …
Determination Of Optimal Level Of Foreign Reserves In Nigeria, Ishola W. Oyeniran, Solomon A. Alamu
Determination Of Optimal Level Of Foreign Reserves In Nigeria, Ishola W. Oyeniran, Solomon A. Alamu
CBN Journal of Applied Statistics (JAS)
This study adopts the ’buffer stock model’ advanced by Frenkel and Jovanovic (1981) to estimate the optimal level of foreign reserves for Nigeria. The Autoregressive Distributed Lag Approach (ARDL) was used to estimate the optimal foreign reserves function. The results show that the Nigeria’s optimal reserves level responses to adjustment cost of holding reserves and exchange rate volatility and that import and opportunity cost of reserves holding have insignificant impact on Nigeria’s optimal foreign reserves. The short run and long run estimates of the buffer stock model support the theory that foreign reserves holding in Nigeria is more sensitive to …
Oil Price Shocks And Macroeconomic Dynamics In An Oil-Exporting Emerging Economy: A New Keynesian Dsge Approach, Sunday Oladunni
Oil Price Shocks And Macroeconomic Dynamics In An Oil-Exporting Emerging Economy: A New Keynesian Dsge Approach, Sunday Oladunni
CBN Journal of Applied Statistics (JAS)
The global oil dynamics has significant implications for both oil exporting and importing small open economies. However, much of the literature on oil shocks is oriented towards advanced oil-importing economies. Micro-founded studies that explore the effects of oil shocks from the standpoint of oil-endowed emerging economies are rather sparse, compared to the preponderance of studies on developed oil importers and exporters. Thus, resulting to a consequential knowledge gap on oil price transmission mechanism and a limited appreciation of the growing policy dilemmas in these economies. The paper, therefore, sets up a new Keynesian dynamic stochastic general equilibrium (DSGE) model to …
Spillover Effect Of United States Monetary Policy On Nigeria’S Financial And Macro Fundamentals, Patterson C. Ekeocha
Spillover Effect Of United States Monetary Policy On Nigeria’S Financial And Macro Fundamentals, Patterson C. Ekeocha
CBN Journal of Applied Statistics (JAS)
This paper examines spillover effects of U.S monetary policy on macroeconomic fundamentals in Nigeria from January 1985 to December 2018. The study period is partitioned to account for conventional monetary policy (CMP) period, January 1985 to August 2007 and unconventional monetary policy (UMP) period, September 2007 to December 2018. Guided by relevant pre-tests, we find BEKK-VARMA-CCCMGARCH as the most appropriate model. The study finds significant spillover effects of U.S CMP and UMP on interest rate, exchange rate and inflation rate in Nigeria. We, however, observe that while CMP may be a significant accelerator of shocks persistence on interest rates and …
A Text Mining Analysis Of Central Bank Monetary Policy Communication In Nigeria, Mohammed M, Tumala, Babatunde S. Omotosho
A Text Mining Analysis Of Central Bank Monetary Policy Communication In Nigeria, Mohammed M, Tumala, Babatunde S. Omotosho
CBN Journal of Applied Statistics (JAS)
This paper employs text-mining techniques to analyse the communication strategy of the Central Bank of Nigeria (CBN) during the period 20042019. Since the policy communique released after each meeting of the CBN’s monetary policy committee (MPC) represents an important tool of central bank communication, we construct a corpus based on 87 policy communiques with a total of 123, 353 words. Having processed the textual data into a form suitable for analysis, we examined the readability, sentiments, and topics of the policy documents. While the CBN’s communication has increased substantially over the years, implying increased monetary policy transparency; the computed Coleman …
External Shocks And Business Cycle Fluctuations In Oil-Exporting Small Open Economies: The Case Of Nigeria, Sunday Oladunni
External Shocks And Business Cycle Fluctuations In Oil-Exporting Small Open Economies: The Case Of Nigeria, Sunday Oladunni
CBN Journal of Applied Statistics (JAS)
This study employs a sign-restricted Bayesian structural vector autoregressive (BSVAR) model to analyse how global demand, oil price and the US monetary policy shocks impact the Nigerian business cycle. The objective is to uncover the dominant external drivers of the business cycle in Nigeria. Results show that global demand and oil price shocks are the principal foreign drivers of the Nigerian business cycle. The global demand shock elicits the strongest responses from output growth and inflation; while oil price shock impacts the terms-of-trade and interest rate the most. The historical contributions of the global demand and oil price shocks to …
Measuring Dynamic Return And Volatility Connectedness Among Nigerian Financial Markets, Elias A. Udeaja
Measuring Dynamic Return And Volatility Connectedness Among Nigerian Financial Markets, Elias A. Udeaja
CBN Journal of Applied Statistics (JAS)
This study employs the connectedness measure of Diebold and Yilmaz (2012, 2014) to examine the intensity of connectedness among the Nigerian financial markets for the period January 2000 to December 2018. The study used all shares index, Treasury bill rate and Naira/USD official exchange rate to measure stock market, money market and exchange rate market, respectively. The study found connectedness among the Nigerian financial markets to be highly time-varying and appear to be higher during the period of high depreciation of the naira which coincides with the period of falling oil prices and domestic economic meltdown of 2014 and 2016, …
The Growth-Differential Effects Of Domestic Investment And Foreign Direct Investment In Africa, Victor U. Ijirshar, Gbatsoron Anjande, Joseph Fefa, Bridget N. Mile
The Growth-Differential Effects Of Domestic Investment And Foreign Direct Investment In Africa, Victor U. Ijirshar, Gbatsoron Anjande, Joseph Fefa, Bridget N. Mile
CBN Journal of Applied Statistics (JAS)
This paper employs dynamic panel models; Pooled Mean Group (PMG) and Mean Group (MG) estimators to assess the growth-differential effects of Foreign Direct Investment (FDI) and Domestic Investment (DI) among 41 selected African countries from 1970 to 2017. The result of Hausman test shows that PMG estimator is preferred. The study found that FDI and DI are important grease for growth of African countries in the long-run. The study also found that inflows of FDI crowds-in DI in Africa and that there is significant difference in the growth effects of foreign direct investment and domestic investment while the joint effects …
Inflation Dynamics And Exchange Rate Pass-Through In Nigeria: Evidence From Augmented Nonlinear New Keynesian Philips Curve, Usman A. Bello, Aliyu R. Sanusi
Inflation Dynamics And Exchange Rate Pass-Through In Nigeria: Evidence From Augmented Nonlinear New Keynesian Philips Curve, Usman A. Bello, Aliyu R. Sanusi
CBN Journal of Applied Statistics (JAS)
This paper estimates a nonlinear augmented New Keynesian Philips Curve for Nigeria using the Smooth Transition Regression model for the period 1995Q1 to 2018Q2. The empirical evidence reveals the existence of two inflation regimes during the period under review. Food inflation, energy inflation, firms’ marginal cost, and imported inflation account for most of the changes in the prices of composite consumers’ basket in low exchange rate depreciation regime. However, the exchange rate solely explains price changes in the composite consumers’ basket when inflation switches to high regime. Similarly, the results show that regime change in inflation is largely caused by …
Oil Price Shocks, Fuel Subsidies And Macroeconomic (In)Stability In Nigeria, Babatunde S. Omotosho
Oil Price Shocks, Fuel Subsidies And Macroeconomic (In)Stability In Nigeria, Babatunde S. Omotosho
CBN Journal of Applied Statistics (JAS)
This paper studies the macroeconomic implications of oil price shocks and the extant fuel subsidy regime for Nigeria. To do this, we develop and estimate a New-Keynesian DSGE model that accounts for pass-through effect of international oil price into the retail price of fuel. Our results show that oil price shocks generate significant and persistent impacts on output, accounting for about 22 percent of its variations up to the fourth year. Under our benchmark model (i.e. with fuel subsidies), we show that a negative oil price shock contracts aggregate GDP, boosts non-oil GDP, increases headline inflation, and depreciates the exchange …
Impact Of Trade Openness On Economic Growth Among Ecowas Countries: 1975-2017, Victor U. Ijirshar
Impact Of Trade Openness On Economic Growth Among Ecowas Countries: 1975-2017, Victor U. Ijirshar
CBN Journal of Applied Statistics (JAS)
This study assesses the impact of trade openness on economic growth among ECOWAS countries using secondary data from 1975 to 2017. The study uses non-stationary heterogeneous dynamic panel models through the application of Pooled Mean Group (PMG) and Mean Group (MG) estimators since time dimension was more than cross-sections. Using the Hausman test, PMG estimator was preferred. Results show that trade openness has positive effects on growth in ECOWAS countries in the long-run but mixed effects in the short-run. The study therefore recommends that ECOWAS member countries improve cooperation among economic actors by using export consortia so as to help …
Imputation Of Missing Values In Economic And Financial Time Series Data Using Five Principal Component Analysis Approaches, Chisimkwuo John, Emmanuel J. Ekpenyong, Charles C. Nworu
Imputation Of Missing Values In Economic And Financial Time Series Data Using Five Principal Component Analysis Approaches, Chisimkwuo John, Emmanuel J. Ekpenyong, Charles C. Nworu
CBN Journal of Applied Statistics (JAS)
This study assesses five approaches for imputing missing values. The evaluated methods include Singular Value Decomposition Imputation (svdPCA), Bayesian imputation (bPCA), Probabilistic imputation (pPCA), Non-Linear Iterative Partial Least squares imputation (nipalsPCA) and Local Least Square imputation (llsPCA). A 5%, 10%, 15% and 20% missing data were created under a missing completely at random (MCAR) assumption using five (5) variables: Net Foreign Assets (NFA), Credit to Core Private Sector (CCP), Reserve Money (RM), Narrow Money (M1), Private Sector Demand Deposits (PSDD), from 1981 to 2019 using R-software. The five imputation methods were used to estimate the artificially generated missing values. The …
Assessing Contingent Convertible Bonds For Bank Recapitalization In Nigeria, Kabir Katata
Assessing Contingent Convertible Bonds For Bank Recapitalization In Nigeria, Kabir Katata
CBN Journal of Applied Statistics (JAS)
This study estimates the parameters of credit derivatives, equity derivatives and structural models for bank recapitalisation in Nigeria by employing contingent convertibles (CoCos) and using the Nigeria Treasury Bill rate for 2009 as the risk-free rate, estimated recapitalisation requirements for the banks as at 2009 and relevant banks’ share prices for 2008 and 2009. The study finds the structural approach as the preferred model for CoCo pricing, as it reported the least pricing errors and also builds asset values of the banks from publicly-available quoted stock prices as well as deposit components of bank’s balance sheet information. The study also …
Is The Cfa Franc Prone To Speculative Attacks Or A Contagion Effect: A Stochastic-Markov Transition Analysis For Cameroon, Louis Sevitenyi Nkwatoh Mr
Is The Cfa Franc Prone To Speculative Attacks Or A Contagion Effect: A Stochastic-Markov Transition Analysis For Cameroon, Louis Sevitenyi Nkwatoh Mr
CBN Journal of Applied Statistics (JAS)
The study employs the Markovian processs on annual nominal effective exchange rate of CFA Franc spanning 1975 to 2017 to examine whether the CFA franc is prone to speculative attacks or a contagion effect. The findings reveal that the expected duration for the CFA Franc to be undervalued is twice higher than for it to be overvalued. This validates the contagion effect of a Euro crisis on the CFA Franc. Though the level of growth increased significantly during the undervaluation era, the level of uncertainty remains equally high. The findings confirm that exchange rate devaluation influences the expectations of private …
Oil Price And Exchange Rate Nexus In Nigeria: Are There Asymmetries, Attahir B. Abubakar
Oil Price And Exchange Rate Nexus In Nigeria: Are There Asymmetries, Attahir B. Abubakar
CBN Journal of Applied Statistics (JAS)
This paper examines the dynamics in the relationship between oil price and exchange rate in Nigeria by utilizing monthly data spanning January 1986 to June 2018. It specifically determines asymmetries in the relationship between oil price and exchange rate and the effect of oil price shocks on exchange rate. Threshold Autoregressive (TAR), Momentum Threshold Autoregressive (MTAR) and Structural Vector Autoregressive (SVAR) models were employed for the analysis. Findings of TAR and MTAR models confirm the absence of asymmetric cointegration, hence leading to the conclusion that in the case of Nigeria, there are no asymmetries in the relationship between oil price …
Testing For Single Bubble Episode In The Nigerian Stock Market: An Empirical Investigation, Jamilu Ilyasu, Ndayezhin D. Saba
Testing For Single Bubble Episode In The Nigerian Stock Market: An Empirical Investigation, Jamilu Ilyasu, Ndayezhin D. Saba
CBN Journal of Applied Statistics (JAS)
This study evaluates a single bubble episode in the Nigerian Stock Exchange (NSE) by utilizing monthly data on nominal and real all-share index (ASI) from January 2010 to December 2017. Analysis of data based on Sup Augmented Dickey-Fuller (SADF) test for bubble detection suggests non-existence of a bubble in the NSE between 2010 and 2017. Though there is an indication of one explosive episode in September 2011 at which the DickeyFuller statistic lied above the critical values sequence line. However, it is not a bubble but a short deviation from trend. The study also estimates a time-varying long memory parameter, …
Enhanced Mean Ratio Estimators Of Auxiliary Variables Based On The Linear Mixture Of Variances, Damisa A. Saddam, Jamila Abdullahi, Umar Nura
Enhanced Mean Ratio Estimators Of Auxiliary Variables Based On The Linear Mixture Of Variances, Damisa A. Saddam, Jamila Abdullahi, Umar Nura
CBN Journal of Applied Statistics (JAS)
This paper incorporates the variance of auxiliary variables to propose three improved ratio estimators of population mean. To enhance the efficiency of the proposed ratio estimators, a linear combination of the population coefficient of variation, kurtosis, skewness and the population variance of the auxiliary variable is harnessed. The properties relating to the suggested estimators are assessed using constant, bias and mean square error. We also provided practical study for illustration and corroboration using a population data consisting of the fixed capital, which is the supporting variable and output of 80 factories which are the study variables. The suggested improved ratio …
Assessing Efficiency In The Pharmaceutical Sector Of Nigeria, Efayena O. Obukohwo, Enoh H. Olele, Patricia N. Buzugbe
Assessing Efficiency In The Pharmaceutical Sector Of Nigeria, Efayena O. Obukohwo, Enoh H. Olele, Patricia N. Buzugbe
CBN Journal of Applied Statistics (JAS)
The study analyses, empirically, the efficiency of the Pharmaceutical sector in Nigeria. Employing a balanced panel of 20 pharmaceutical firms between 2012 and 2016, the paper uses a non-parametric technique (Data Envelopment Analysis) to analyze the firms’ efficiency under the constant returns to scale (CRS) and variable returns to scale (VRS) assumptions. The results obtained shows inefficiency in the pharmaceutical sector as it operates under a decreasing return to scale. This calls for an appropriate policy mix to stimulate the efficiency of the pharmaceutical sector in Nigeria by enhancing research and development (R&D) as ell as regulations within the sector.
Policy Trilemma And Interest Rate Behaviour In Nigeria, Korede Ajogbeje, Oluwatosin Adeniyi, Festus O. Egwaikhide
Policy Trilemma And Interest Rate Behaviour In Nigeria, Korede Ajogbeje, Oluwatosin Adeniyi, Festus O. Egwaikhide
CBN Journal of Applied Statistics (JAS)
Policy makers face trade-off in dealing with exchange rate management, monetary independence and concerns about capital mobility simultaneously. This study empirically examines the effects of Nigeria’s trilemma policy path on interest rate using data spanning from 1997:Q1 to 2017:Q3. It equally incorporates the role of external reserves in buffering these effects. Stationarity of the series were ascertained with Zivot-Andrew (ZA) structural break unit roots test technique, while the bounds test cointegration approach was used to confirm the cointegrating properties of the variables. We found that capital mobility has significant effect on interest rate in the long run baseline model and …
A Predictive Model For Inflation In Nigeria, Nse S. Udoh, Anietie S. Isaiah
A Predictive Model For Inflation In Nigeria, Nse S. Udoh, Anietie S. Isaiah
CBN Journal of Applied Statistics (JAS)
The study estimates a dynamic model using quarterly data spanning 1995 to 2016. Four dynamic models: level lagged variables, differenced lagged variables, log-transformed lagged variables and differenced log-transformed lagged variables were considered. The best predictive model was selected based on the Schwarz Information Criterion (SIC) value. From the empirical results, the level form models performed better than the differenced form models. On the basis of model parsimony, the level lagged model was the preferred model among the set of selected models. Predictions obtained from the model indicate that the model is stable as actual interest rate (IR) values, fall well …
Non-Performing Loan And Its Effects On Banking Stability: Evidence From National And International Licensed Banks In Niger, Ngozi V. Atoi
Non-Performing Loan And Its Effects On Banking Stability: Evidence From National And International Licensed Banks In Niger, Ngozi V. Atoi
CBN Journal of Applied Statistics (JAS)
This study examines Non-Performing Loan (NPL) and its effects on the stability of Nigerian banks with national and international operational licenses from 2014:Q2 to 2017:Q2. A “restricted” dynamic GMM is employed to estimate the macroeconomic and bank specific drivers of NPL for each licensed category. Z-Score is constructed to proxy banking stability, and its response to shocks NPLs is examined in a panel vector autoregressive framework. The results reveal that drivers of NPLs vary across the two categories of banks, but, weighted average lending rate is a vital macroeconomic driver of NPLs for both. The results also confirm the moral …
On The Efficiency Of Stock Markets: A Case Of Selected Opec Member Countries, Ebenezer A. Olubiyi, Peter O. Olopade
On The Efficiency Of Stock Markets: A Case Of Selected Opec Member Countries, Ebenezer A. Olubiyi, Peter O. Olopade
CBN Journal of Applied Statistics (JAS)
The study investigates the stock market efficiency of selected OPEC member countries within the context of random walk hypothesis and volatility approaches using monthly data on stock market indices from January, 2005 to April, 2016. Parametric (variance ratio: homoskedastic and heteroskedastic martingale), nonparametric (the Wright ranks and scores) tests and ARCHtype estimation are performed. Results of both parametric and nonparametric tests indicate that only Qatar’s stock market is weak-form efficient. The volatility results suggest that monthly stock returns of OPEC countries are volatile, with Qatar being most volatile and shocks to volatility of stock returns are asymmetric. The implications of …