Version 1
: Received: 22 April 2020 / Approved: 24 April 2020 / Online: 24 April 2020 (14:00:19 CEST)
How to cite:
Adenomon, M.O.; Maijamaa, B.; john, D.O. On the Effects of COVID-19 outbreak on the Nigerian Stock Exchange performance: Evidence from GARCH Models. Preprints2020, 2020040444. https://doi.org/10.20944/preprints202004.0444.v1
Adenomon, M.O.; Maijamaa, B.; john, D.O. On the Effects of COVID-19 outbreak on the Nigerian Stock Exchange performance: Evidence from GARCH Models. Preprints 2020, 2020040444. https://doi.org/10.20944/preprints202004.0444.v1
Adenomon, M.O.; Maijamaa, B.; john, D.O. On the Effects of COVID-19 outbreak on the Nigerian Stock Exchange performance: Evidence from GARCH Models. Preprints2020, 2020040444. https://doi.org/10.20944/preprints202004.0444.v1
APA Style
Adenomon, M.O., Maijamaa, B., & john, D.O. (2020). On the Effects of COVID-19 outbreak on the Nigerian Stock Exchange performance: Evidence from GARCH Models. Preprints. https://doi.org/10.20944/preprints202004.0444.v1
Chicago/Turabian Style
Adenomon, M.O., Bilkisu Maijamaa and Daniel Owoicholofu john. 2020 "On the Effects of COVID-19 outbreak on the Nigerian Stock Exchange performance: Evidence from GARCH Models" Preprints. https://doi.org/10.20944/preprints202004.0444.v1
Abstract
COVID-19 was first identified in Wuhan, China in December 2019 and has caused huge death and has spread to almost all the parts of the world. There are speculation that most of the world economy and financial markets would be affected due to lockdown and social distancing. The first case of COVID-19 was first identified in Nigeria on 27th February 2020 and this study examines the effect of COVID-19 outbreak on the performance of the Nigeria stock exchange using historical data covering 2nd March 2015 to 16th April, 2020 sourced from a secondary source. This study considered the COVID-19 period from 2nd January 2020 to 16th April 2020, the results revealed a loss in stock returns and high volatility in stock returns under the COVID-19 period in Nigeria as against the normal period under study. In addition, Quadratic GARCH (QGARCH) and Exponential GARCH (EGARCH) models with dummy variable were applied to the stock returns shows that the COVID-19 has had negative effect on the stock returns in Nigeria. The study recommended that political and economic policy such as stable political environment, incentive to indigenous companies, diversification of the economy, flexible exchange rate regime be implemented so as to improve the financial market and to attract more and new investors to the Nigerian Stock Exchange.
Keywords
NSE; COVID-19; QGARCH; EGARCH; Returns
Subject
Computer Science and Mathematics, Probability and Statistics
Copyright:
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
Received:
12 May 2020
Commenter:
COVID-19 Stock Market Crisis: What does it tell us
The commenter has declared there is no conflict of interests.
Comment:
This pandemic has affect people and its markets. It affects the normal way of how the world go. Thank you for sharing this and COVID-19 Stock Market Crisis: What does it tell us.
Commenter: COVID-19 Stock Market Crisis: What does it tell us
The commenter has declared there is no conflict of interests.