Stock market linkage broadens the range of investment opportunities available to market participants, strengthens the expansion of the component market, fosters healthy competition in the provision of financial services, and exacerbates vulnerability to volatility contagion. The objective of...

There is quite an extensive literature documenting the behaviour of stock returns volatility in both developed and emerging stock markets, but such studies are scanty for the Nigerian Stock Exchange (NSE). Modelling volatility is an important element in pricing equity, risk management and...

This paper examines the Weak-Form Efficient Market Hypothesis across time for the Nigerian Stock Exchange (NSE) by hypothesizing Normal Distribution and Random walk in periodic return series. Monthly all share indices of the NSE are examined for three periods including January 1985 to December...

There is quite an extensive literature documenting the behaviour of stock returns volatility in both developed and emerging stock markets, but such studies are scanty for the Nigerian Stock Exchange (NSE). Modelling volatility is an important element in pricing equity, risk management and...

This paper evaluates the nature of stock market volatility in Africa after the global financial crisis. Specifically, the paper examines volatility clustering and volatility asymmetry in aftermath of the global financial crisis for Botswana, Régionale des Valeurs Mobilières (BRVM), Egypt,...

The importance of credible research data in conducting empirical studies in banking and finance is well established. Finance scholars face the challenge of finding and using reliable and credible data to provide empirical evidence to support investment and financial decision-making and to meet...