Ogiemudia, Omorose A.; Osifo, Osagie; Eghosa, Igbinovia L. - In: CBN journal of applied statistics 13 (2022) 2, pp. 79-115
This study examines the link between market risk and equity return in Nigeria between 1980 to 2019. It employs the vector error correction model (VECM) to determine the short run dynamics and long run effect of market risk factors on stock return. The findings revealed that a dynamic...