Omokehinde, Joshua Odutola; Abata, Matthew Adeolu; … - In: SPOUDAI - Journal of Economics and Business 67 (2017) 3, pp. 3-17
This paper examines the effect of foreign exchange news announcements on the volatility of stock returns in Nigeria, using the daily closing All-Share Index from The Nigerian Stock Exchange from 2000 to 2015. We extended existing literature by augmenting the EGARCH econometric model with...