EFFECT OF STOCK MARKET LIBERALISATION ON VOLATILITY IN NIGERIAN EXCHANGE GROUP (NGX).
1 Department ofMarketing, Kaduna State University, Kaduna State
* Corresponding author: hauwa.tijjani@kasu.edu.ng
* Corresponding author: hauwa.tijjani@kasu.edu.ng
Abstract
The Nigerian stock market is seen as one of the key drivers of growth in the economy and hence has undergone significant changes in terms of policies that are aimed at improving its
performance. Among these reforms is the stock market liberalization which was targeted at
enhancing the efficiency of the market. This study examined the impact of financial liberalization
on stock market volatility in Nigeria from February 2011 to September 2023 using monthly time
series data extracted from the central bank of Nigeria(CBN) Data base and the Nigerian
exchange group (NGX). The Augmented Dickey Fuller (ADF) and Philip Perron (PP) unit root
tests were conducted on the time series data. The ARCHLM tests was also carried out and the
EGARCH model was estimated under the assumption of normally distributed model. The ARCH
tests results revealed that there exists ARCH effects in the NGX stock returns implying the
presence of volatility clustering in the return series. The results further revealed that stock
market liberalisation has a significant negative impact on volatility. The findings also indicates
volatility persistence in the Nigerian stock market and that bad news generates higher volatility
than good news of the same magnitude. Policy makers should institute policies and mechanism
that will stabilize significant macroeconomic indicators like exchange rate and inflation as this
would guarantee investor's confidence in the stock market.
Keywords
stock market liberalization (SML)
volatility
foreign portfolio Investment
Exponential Generalised Autoregressive Heteroskedastic Model (EGARCH)
How to Cite
TIJJANI, H. B. (2025). EFFECT OF STOCK MARKET LIBERALISATION ON VOLATILITY IN NIGERIAN EXCHANGE GROUP (NGX).. KASU Journal of Management Sciences, 11(1), 139-151. https://doi.org/10.68022/kjms.2025.mcww8k84
H. B. TIJJANI, "EFFECT OF STOCK MARKET LIBERALISATION ON VOLATILITY IN NIGERIAN EXCHANGE GROUP (NGX).," KASU Journal of Management Sciences, vol. 11, no. 1, pp. 139-151, June 2025. doi: 10.68022/kjms.2025.mcww8k84