Risk-Return Relationship in the Nigerian Stock Market During Pandemic Covid-19: Sectoral Panel Garch Approach

• Autorzy: Kamaldeen Ibraheem Nageri
• Języki publikacji: EN

Abstrakty

EN

This study examines how the Nigerian Stock Exchange (NSE) is responding to the COVID-19 pandemic in the form of risk-return relationship and volatility. Panel data analyses of GARCH-in-mean and Threshold GARCH were estimated on three error distributional assumptions. All Share Index (ASI) from January 2020 to December 2020 for ten stock market indices on the NSE. Findings indicate that the cross-section return of the ten stock market indices returns exhibit a positive risk-return relationship during COVID-19 and the impact of bad news was found to have no significant impact on return volatility on the NSE. This indicates that the policy response during the pandemic is adequate to cushion the negative impact of COVID-19, which should be sustained.(original abstract)

Słowa kluczowe

EN

Stock market; Risk; Financial risk management; COVID-19

PL

Giełda papierów wartościowych; Ryzyko; Zarządzanie ryzykiem finansowym; COVID-19

• Czasopismo: Copernican Journal of Finance & Accounting
• Rocznik: 2021
• Tom: 10
• Numer: nr 4
• Strony: 97--116

Twórcy

autor

Kamaldeen Ibraheem Nageri

• Al-Hikmah University, Ilorin, Nigeria

Bibliografia

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Identyfikatory

DOI

0.12775/CJFA.2021.017