Article2013

Accounting Information and Stock Volatility in the Nigerian Capital Market: A Garch Analysis Approach

24 citations0/0 files storedInternational Review of Management and Business Research

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Financial Analysis and Corporate Governance

Abstract

The broad objective of the study is to ascertain if accounting information contributes to stock volatility in the Nigerian Capital Market. Specifically, the study examines if Book value per share, Dividend per share and Earnings per share have a sign effect on stock volatility in Nigeria. To capture stock returns volatility clustering, leptokurtosis and leverage effects on the share price series, the GARCH models were used. Specifically, the GARCK (1, 1), TGARCH (1, 1) and EGARCH (1, 1) were utilized. Using the simple random sampling technique, a sample size of 10 quoted companies was selected using the simple random sampling technique for the period 2000-2010 and this gives a total of 100 company years/data points. Secondary data retrieved from the financial statements of the sampled companies were employed for the study. E-views 7.0 was utilized for data estimation. Findings reveal that there are enough evidences to reject the assumptions of conditional normality in stock prices data series and accept the existence of stock volatility in Nigerian stock market. In addition, an evaluation of the three models shows that BVS as a determinant of stock volatility appeared to be significant in the TGARCH (1,1) and EGARCH (1,1). Also EPS appeared to be significant in the TGARCH (1,1) and EGARCH-1( 1,1) while DPS as a determinant of stock volatility appeared to be significant in GARCH (1,1). TGARCH (1,1) and EGARCH (1,1) respectively. The study concludes that accounting information influences stock volatility and as such the regulation of disclosures may be an area for consideration by the relevant agencies alongside the need to address volatility issues in the Nigerian capital market.

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References

1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1968An Empirical Evaluation of Accounting Income Numbers 1995The Limits of Arbitrage 1986Asset pricing and the bid-ask spread 1980Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?1976The pricing of commodity contracts

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2015The Value Relevance of Accounting Disclosures among Nigerian Financial Institutions after the IFRS Adoption

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