35 research outputs found
Are African stock markets efficient? Evidence from wavelet unit root test for random walk
In this paper, we used the recently developed frequency based wavelet unit root test alongside a number of time domain unit root tests to examine the validity or otherwise of the random walk hypothesis for seven African largest markets. Unlike previous studies that affirms the validity of the random walk behaviour for African markets, our results reveal that when frequency domain is factored into stock market behaviour framework, evidence abound to reject the null of unit root test for each of the African markets studied. This implies that African markets are inefficient, contributes to growth and provide good opportunities for arbitrage trading. The results have critical implications for investors, policy makers as well as the academics
Stock Market Volatility: Does our Fundamentals Matter?
This study used EGARCH estimation techniques to examine the impact of the systematic risk emanating from the macroeconomy on stock market volatility based on monthly data sourced from 1985 to 2013 on the Nigerian economy. Our results show that all the macroeconomic variables tested exerts on stock market pricing and that the stock market pricing is most influenced by exchange rate volatility. We thus recommend that policy makers on the one hand should pay close attention to the innovations in the macroeconomic variables when formulating macroeconomic or financial stability policy. On the other hand, market practitioners should calibrate volatility of macroeconomic variables in their portfolio decision making process
Attitude of Investors to Capital and Money Market Investments Before and After Financial Crisis: Evidence from Nigeria
ABSTRAC
THE IMPACT OF INTERNATIONAL FINANCIAL REPORTING STANDARD (IFRS) ADOPTION ON KEY FINANCIAL RATIOS IN NIGERIA
Purpose: This study examined the effects of the adoption of the International Financial Reporting Standard (IFRS) on the quality of financial statements of agro-allied firms in Nigeria.
Methodology: Battery of unit root test techniques and co-integration tests were deployed to examine the existence of long-run impact of relevance and reliability of financial reporting as provoked by IFRS adoption. The study made use of Panel Fully Modified Least Square techniques to examine the nature of the relationship between the Pre-IFRS and Post-IFRS adoption periods.
Main Findings: The study noted that IFRS adoption has a substantial effect on the reliability and relevance of financial statements.
Implications: The findings of this study help in shedding light on the impact of the IFRS on financial statements' reliability and relevance of listed agro-allied firms in Nigeria.
Novelty: This study offers a unique understanding of the impact of IFRS adoption on financial ratios in Nigeria
Financial stability and entrepreneurship development in sub-Sahara Africa: Implications for sustainable development goals
This study examined the relationship between financial stability and
entrepreneurship development in Sub-Sahara Africa, thereby scaling up the
achievement of SDGs 1, 5, 8, 9, 10 and 12. The study made use of pooled data from
24 sub-Sahara Africa countries covering the period from 2004 to 2017. The method
of analysis utilised is the pooled ordinary least squares (OLS) and random effects
techniques. The findings revealed that financial stability (which measures the
financial strength of the banks, real economic stability and the level of financial
market development in the region) have a significant positive effect on entrepreneurship development at one per cent (1 per cent) significance level in the study
period. The findings of the study suggest that stability in the financial environment
facilitates the provision of credit facilities for entrepreneurship and promotion of
new business start-up in the study area. The result also shows that East African
countries make a significant positive contribution to entrepreneurship development
in terms of responsiveness to changes in financial stability, governance, strong
institutions, economic development and human capital development than other
regions in the continen
Are Oil Prices Mean Reverting? Evidence from Unit Root Tests with Sharp and Smooth Breaks
This study examined the validity of efficiency market hypothesis for the oil market by employing a novel Fourier unit root test that accounts for sharp shifts and smooth breaks based on daily data. Our results established the existence of structural shifts and nonlinearity in the oil market indices suggesting that oil market is inefficient when structural breaks is calibrated into the model. Unlike results obtained from existing traditional unit root test, results from sharp shifts and smooth breaks unit root test suggests the rejection of unit root null for each of the oil indices. The study has some practical and policy implications based on our findings.    Â
Keywords: Oil prices; Market Efficiency; Fourier analysis; Unit root tests; Energy.
JEL Classifications: C22, C50, G10, G12
DOI: https://doi.org/10.32479/ijeep.698
Challenges of accountability in Nigeria: the role of deposit money bank
practices, thereby resulting in high-level corruption cases in the banking sector. The purpose of this study is
to investigate the short- and long-run linkages between bank net interest income and deposit liabilities
interacted with corruption, to establish the influence of corruption in deposit mobilisation drive of banks in
Nigeria. Also, the study analysed the causal relationship between selected bank variables and fraud.
Design/methodology/approach – The study used quarterly data on selected variables from 1Q 1993 to
4Q 2017 sourced from Nigerian Deposit Insurance Corporation (NDIC) annual reports and Central Bank of
Nigeria (CBN) Statistical Bulletin of various issues. Deposit Money Bank various deposit liabilities are
interacted with a corruption index and used as the independent variables, while bank earnings serve as the
dependent variable. Error Correction Model (ECM) and Engel Granger approach to co-integration technique
were used to analyse the data.
Findings – The findings reveal that various bank deposit liabilities interacted with corruption index has a
negative effect on bank profitability in the long run, though only corrupt fixed deposit is statistically
significant at the 5 per cent significance level. Bank total asset, total loan and advances and fraud have a
significant effect on bank profitability at 1 and 10 per cent significance level. The findings also reveal that
banks profit from corrupt fixed deposit and demand deposit in the short run.
Social implications – Text
Originality/value – The literature is awash with bank lending corruption and various institutional factors
such as competition among banks, credit bureau and information sharing about borrowers, bank supervisory
policies, loan loss provisioning, bank ownership structure and regulatory environment and anti-corruption
measures. The aspect of deposit mobilisation and corruption has not been well researched in literature; this
study, therefore, fills the gap in the literature by examining the extent deposit money banks contributed to
corruption in Nigeria through their cutthroat deposit mobilisation drive
Examining the Effects of Oil Price Long Memory and Exchange Rate Long Memory on Stock Market Behavior in Nigeria
The study examined the effect oil price long memory and exchange rate long memory on Nigeria’s stock. We have used ARMA estimating techniques
to assess whether one or both variables exert impact on the stock market in Nigeria. Our result shows that long memory stock price is driven by a long
memory of the exchange rate and long stock of the oil price. We therefore recommend that policymakers pursue policies aimed at stabilizing, on the
one hand, the exchange rate regime and ensuring the economy has a position in net oil exportations. We also recommend the development of portfolio
strategies by market practitioners so that long-term memory in exchange rates as well as in oil pricing are considered when making investment decision