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- W2587122015 abstract "This study seeks to test for the presence of asymmetric effect in the Nigerian Stock Exchange. In order to achieve the objective of the study, the researcher obtains the average market return, the equilibrium market returns generated by the risk factors of the APT, and then subjects them to asymmetric tests using the TAR-GARCH technique. Findings from the study reveal that equilibrium market return generated by pre-specified APT does not significantly respond to information asymmetry. This implies that is volatility does not really change with information. However, the equilibrium market return generated by statistical APT exhibits the presence of information asymmetry whereby the volatility of stock returns significantly responds to information. This reveals the presence of leverage effect in the Nigerian stock market whereby stock returns volatility increases with bad news but the volatility reduces with good or positive news. The researcher recommends that government agents in respect of this market should provide more adequate means of information diffusion into the market at zero cost to all participants." @default.
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- W2587122015 date "2016-01-01" @default.
- W2587122015 modified "2023-09-27" @default.
- W2587122015 title "A Test of Asymmetric Volatility in the Nigerian Stock Exchange" @default.
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