Empirical Analysis of the Nigerian Stock Market and the Global Financial Crisis.

Authors

  • AJAYI John Ayodele Federal University of Agriculture, Abeokuta
  • Akomolafe, R. O. Z. Bowen University, Iwo

Keywords:

Autoregressive, Global Financial Crisis, Moving Average, Stock Market, Transfer Function.

Abstract

This study investigated the effect of the recent global financial crisis on the Nigerian stock market. The data collection relied on the daily returns from the Nigerian stock market between January 1, 2005 and December 31, 2013. A transfer function approach was adopted for the study. Empirical findings and results from the study showed that the recent global financial crisis negatively affected the Nigerian stock market as shown in the coefficients of the autoregressive and moving average models that were less than unity. Based on this finding, the study opined that government should put up measures to stem up investors’ confidence and activities in the market so that it could remedy the shocks experienced during the crisis.

Author Biographies

AJAYI John Ayodele, Federal University of Agriculture, Abeokuta

Department of Banking and Finance, Federal University of Agriculture, Abeokuta, Ogun State- Nigeria.

Akomolafe, R. O. Z., Bowen University, Iwo

Department of Accountancy, Bowen University, Iwo, Osun State, Nigeria.

Published

2019-04-01