An Empirical Analysis of Stochastic Implications of Stock Price Movements in the Nigerian Capital Market

Ayakeme E Whisky


The study provides further empirical insight to the behavior of stocks in four selected sectors of the Nigerian economy using the Runs and GARCH techniques to analyze monthly stock data for the period January 2006 to December, 2011. The results of the Runs Test do not support random movements of stocks in all the sectors, indicating homoscedasticity. The GARCH estimated model also shows volatility clustering in all the sectors except the Agricultural sector, which implies weak form inefficiency of the Nigerian capital market.

Full Text:




  • There are currently no refbacks.

To make sure that you can receive messages from us, please add the '' domain to your e-mail 'safe list'. If you do not receive e-mail in your 'inbox', check your 'bulk mail' or 'junk mail' folders.

Copyright © Macrothink Institute ISSN 2374-2089