<abstract xmlns="http://www.w3.org/1999/xhtml"><p>The Nigerian stock market, prior to the 2007-09 global financial crisis witnessed growth but the market encountered sharp reversal from 2007 due to the global financial crisis. This study evaluates good and bad news on the Nigerian stock market with regards to the policy responses as a result of the meltdown. The study used the TGARCH, EGARCH and PGARCH models under three error distributional assumptions for data covering January 2010 to December 2016 using the All Share Index to generate the return series. Findings shows that good news impact return more than negative news of the same magnitude before the meltdown while bad news insignificantly impact return more than positive news after the meltdown. The study concludes that there is information asymmetry in the Nigerian stock market. Thus, it is recommended that on-line real time access to share price movement for investors should be introduced to improve liquidity level and enhance free flow of relevant securities information.</p></abstract>

The Nigerian stock market, prior to the 2007-09 global financial crisis witnessed growth but the market encountered sharp reversal from 2007 due to the global financial crisis. This study evaluates good and bad news on the Nigerian stock market with regards to the policy responses as a result of the meltdown. The study used the TGARCH, EGARCH and PGARCH models under three error distributional assumptions for data covering January 2010 to December 2016 using the All Share Index to generate the return series. Findings shows that good news impact return more than negative news of the same magnitude before the meltdown while bad news insignificantly impact return more than positive news after the meltdown. The study concludes that there is information asymmetry in the Nigerian stock market. Thus, it is recommended that on-line real time access to share price movement for investors should be introduced to improve liquidity level and enhance free flow of relevant securities information.

Evaluating Good and Bad News During Pre and Post Financial Meltdown: Nigerian Stock Market Evidence

Studia Universitatis Babes-Bolyai Oeconomica

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

The Nigerian stock market, prior to the 2007-09 global financial crisis witnessed growth but the market encountered sharp reversal from 2007 due to the global...

Evaluating Good and Bad News During Pre and Post Financial Meltdown: Nigerian Stock Market Evidence

Published Online: Nov 11, 2020

Page range: 1 - 22

DOI: https://doi.org/10.2478/subboec-2019-0012

Keywords
financial meltdown, news, stock market, GARCH, Error distribution

© 2019 Kamaldeen Ibraheem Nageri, published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

Evaluating Good and Bad News During Pre and Post Financial Meltdown: Nigerian Stock Market Evidence

Published Online: Nov 11, 2020

Page range: 1 - 22

DOI: https://doi.org/10.2478/subboec-2019-0012

Keywordsfinancial meltdown, news, stock market, GARCH, Error distribution

© 2019 Kamaldeen Ibraheem Nageri, published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

Keywords
financial meltdown, news, stock market, GARCH, Error distribution