scholarly journals Asymmetric Information and Volatility of Stock Returns in Nigeria

2017 ◽  
Vol 9 (3) ◽  
pp. 220 ◽  
Author(s):  
Joshua Odutola Omokehinde ◽  
Matthew Adeolu Abata ◽  
Russell Olukayode Christopher Somoye ◽  
Stephen Oseko Migiro
Keyword(s):  
Asymmetric Information ◽  
Stock Returns ◽  
Global Financial Crisis ◽  
Bad News ◽  
Good News ◽  
Significance Level ◽  
Asymmetric Power ◽  
Long Time ◽  
Best Fit ◽  
Total Impact

This paper investigates the effect of asymmetric information on volatility of stock returns in Nigeria using the best-fit Asymmetric Power Autoregressive Conditional Heteroskedasticity, APARCH (1,1) model, under the Generalized Error Distribution (GED) at 1% significance level from 3 January 2000 to 29 November 2016. The descriptive statistical results showed that the returns were not normally and linearly distributed, with strong evidence of a heteroskedasticity effect. The results of the analysis also confirmed the effect of asymmetric information on the volatility of stock returns in the Nigerian stock market. The asymmetric parameter (γ) was negative at (-1.00), which is statistically significant at 1% level. This confirms that there is an asymmetric or leverage effect where bad news had a more destabilizing effect on the volatility of stock returns than good news. The total impact of bad news on volatility was explosive at 2.0, during the period under review. Also, the volatility persistence which is measured by the sum of ARCH(α) and GARCH(β) stood at 1.695950. This is above unity and suggests that volatility takes a long time to attenuate in Nigeria. This could be largely ascribed to the persistent effect of the 2008 global financial crisis, which probably eroded investors’ confidence in the market.

scholarly journals Asymmetric Information and Volatility of Stock Returns in Nigeria

2017 ◽  
Vol 9 (3(J)) ◽  
pp. 220-231
Author(s):  
Joshua Odutola Omokehinde ◽  
Matthew Adeolu Abata ◽  
Olukayode Russell ◽  
Stephen Oseko Migiro ◽  
Christopher Somoye
Keyword(s):  
Asymmetric Information ◽  
Stock Returns ◽  
Global Financial Crisis ◽  
Bad News ◽  
Good News ◽  
Significance Level ◽  
Asymmetric Power ◽  
Long Time ◽  
Best Fit ◽  
Total Impact

This paper investigates the effect of asymmetric information on volatility of stock returns in Nigeria using the best-fit Asymmetric Power Autoregressive Conditional Heteroskedasticity, APARCH (1,1) model, under the Generalized Error Distribution (GED) at 1% significance level from 3 January 2000 to 29 November 2016. The descriptive statistical results showed that the returns were not normally and linearly distributed, with strong evidence of a heteroskedasticity effect. The results of the analysis also confirmed the effect of asymmetric information on the volatility of stock returns in the Nigerian stock market. The asymmetric parameter (γ) was negative at (-1.00), which is statistically significant at 1% level. This confirms that there is an asymmetric or leverage effect where bad news had a more destabilizing effect on the volatility of stock returns than good news. The total impact of bad news on volatility was explosive at 2.0, during the period under review. Also, the volatility persistence which is measured by the sum of ARCH(α) and GARCH(β) stood at 1.695950. This is above unity and suggests that volatility takes a long time to attenuate in Nigeria. This could be largely ascribed to the persistent effect of the 2008 global financial crisis, which probably eroded investors’ confidence in the market.

scholarly journals Asymmetry and Leverage with News Impact Curve Perspective in Australian Stock Returns’ Volatility during COVID-19

2021 ◽  
Vol 14 (7) ◽  
pp. 314
Author(s):  
Najam Iqbal ◽  
Muhammad Saqib Manzoor ◽  
Muhammad Ishaq Bhatti
Keyword(s):  
Stock Returns ◽  
Garch Model ◽  
Bad News ◽  
Good News ◽  
Fiscal Policies ◽  
News Shocks ◽  
Australian Health ◽  
Egarch Model ◽  
Negative Effect ◽  
The Garch Model

This paper studies the effect of COVID-19 on the volatility of Australian stock returns and the effect of negative and positive news (shocks) by investigating the asymmetric nature of the shocks and leverage impact on volatility. We employ a generalised autoregressive conditional heteroskedasticity (GARCH) model and extend the analysis using the exponential GARCH (EGARCH) model to capture asymmetry and allegedly leverage. We proxy the news related to the negative effect of COVID-19 on the Australian health system and its economy as bad news, and on the other hand, measures taken by government economic stimulus packages through their monetary and fiscal policies as good news. The S&P ASX200 (ASX-200) index is used as a proxy to the Australian stock market, and we use value-weighted returns of the stocks listed on ASX-200 for the period 27 January 2020 to 29 December 2020. The empirical results suggest the EGARCH model fits better in capturing asymmetry and leverage than the GARCH model in estimating the volatility of the Australian stock returns. However, another interesting finding is that the EGARCH model with volatility equation without news demonstrates a larger (smaller) leverage effect of the negative (positive) shocks on the conditional volatility compared to its variant with the news.

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

2019 ◽  
Vol 64 (3) ◽  
pp. 1-22
Author(s):  
Kamaldeen Ibraheem Nageri
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Global Financial Crisis ◽  
Bad News ◽  
Good News ◽  
Share Price ◽  
Policy Responses ◽  
Negative News ◽  
On Line ◽  
The Global Financial Crisis

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.

scholarly journals PERAMALAN VOLATILITAS RETURN SAHAM MENGGUNAKAN METODE ASYMMETRIC POWER ARCH (APARCH)

2020 ◽  
Vol 9 (3) ◽  
pp. 157
Author(s):  
JUITA HARYATI SIDADADOLOG ◽  
I WAYAN SUMARJAYA ◽  
NI KETUT TARI TASTRAWATI
Keyword(s):  
Stock Return ◽  
Bad News ◽  
Good News ◽  
Garch Models ◽  
Leverage Effect ◽  
Asymmetric Effect ◽  
Asymmetric Power ◽  
Asymmetric Garch ◽  
Effect Condition

Model APARCH is one of the asymmetric GARCH models. These models are able to capture the incidence of good news and bad news in the volatility. The APARCH model has an asymmetric coefficient to cope with leverage effect by modeling a leverage that has heteroscedasticity and asymmetric effect condition. The results of this research were obtained by the appropriate APARCH model. The model is the APARCH(1,2) model because all parameters are significant. Thus, proceeds from the volatility of stock return for the next 14 days with the model volatility APARCH(1,2) increased from period one to period fourteen.

scholarly journals The Effect of Board Composition on Conservatism: Empirical Evidence from Tehran Stock Exchange (TSE)

2012 ◽  
Vol 3 (1) ◽  
pp. 17-24
Author(s):  
Keramat Ollah Heydari ◽  
Saber Samadi . ◽  
Hamid Asadzadeh . ◽  
Ahmad Kazemi Margavi . ◽  
Hemad Nazari .
Keyword(s):  
Data Analysis ◽  
Stock Returns ◽  
Board Of Directors ◽  
Capital Market ◽  
Stock Exchange ◽  
Financial Statements ◽  
Bad News ◽  
Good News ◽  
Board Composition ◽  
The Board Of Directors

Conservative is misinterpreted as capturing accountants 'tendency to require higher degree of verification for recognizing good news than bad news in financial statements. Under this interpretation of conservatism, earnings reflect bad news more quickly than good news. By using firms' stock returns to measure news, the asymmetric time lineless of recognizing good news and bad news can be examined as a measure of conservative behavior and as them an in question of this research in Irani and capital market. This research examines effect of composition of the board of directors of the companies listed in Tehran Stock Exchange (TSE) on conservative. Data analysis for seven years (2003-2010) shows that companies with a more in dependent board are more conservative. It means that these companies report bad news more timeliness than good news. The results of the research results confirm and reinforce previous researches.

scholarly journals The Implications Of Accounting Conservatism For The Relation Between Earnings And Stock Returns

2011 ◽  
Vol 6 (12) ◽  
Author(s):  
Jinhan Pae
Keyword(s):  
Stock Returns ◽  
Econometric Analysis ◽  
Accounting Conservatism ◽  
Bad News ◽  
Good News ◽  
Font Size ◽  
Robust Test ◽  
Slope Coefficient ◽  
Noise Ratio

<p class="MsoNormal" style="text-justify: inter-ideograph; text-align: justify; margin: 0in 0.5in 0pt;"><span style="font-size: 10pt;"><span style="font-family: Times New Roman;">Characterizing accounting conservatism as the accountants&rsquo; tendency to require a higher degree of verification for recognizing good news than bad news, Basu (1997) predicts that the slope coefficient and R<sup>2</sup> in a regression of earnings on concurrent stock returns will be higher for bad news (negative stock returns) than for good news (positive stock returns). However, standard econometric analysis indicates that the R<sup>2</sup> is a function of the sensitivity of earnings to returns and the noise ratio, which is defined as the ratio of the variance of noise in earnings to the variance of noise in returns. I show that the R<sup>2</sup> from the regression of earnings on stock returns is not necessarily higher for bad news than for good news. So the test of R<sup>2</sup> is not a robust test of accounting conservatism. Consistent with the prediction, I find that the slope coefficient is higher for bad news firms reporting losses than for good news firms reporting profits, but R<sup>2</sup> is lower for bad news firms reporting losses than for good news firms reporting profits. </span></span></p>

scholarly journals Political news and stock market reactions: evidence from Turkey over the period 2008–2017

2019 ◽  
Vol 55 (2) ◽  
pp. 83-98
Author(s):  
Sleiman Karime ◽  
Özlem Sayilir
Keyword(s):  
Stock Market ◽  
Stock Return ◽  
Global Financial Crisis ◽  
Primary Objective ◽  
Bad News ◽  
Good News ◽  
Market Reactions ◽  
Political News ◽  
The Guardian ◽  
The Impact

Abstract The primary objective of the study is to examine the impact of political news (good and bad news) on the returns and volatility of Borsa Istanbul 100 Index (BIST-100). Sample data cover the period from January 2008 to December 2017. The main sample was divided into two subperiods to insulate the dominating impacts of both the 2008 Global Financial Crisis and 2013 Federal Reserve Tapering on Turkish stock markets. The daily stock market data were collected from the Electronic Data Delivery System (EVDS) web service, while political news headlines were collected from the Guardian newspaper. Different nonlinear volatility models (symmetric and asymmetric Generalized AutoRegressive Conditional Heteroskedasticity [GARCH]-type models) were used to model and estimate BIST-100 volatility in response to political news. The findings of the paper highlight four main results. First, there seems to be a significant impact of political news on the returns and volatility of BIST-100 index. Second, negative shocks derived from bad news tend to have a significant impact on the returns and volatility of BIST-100, while positive shocks derived from good news do not tend to have any significant impact on the returns, but decreased returns volatility. Third, political news, both good and bad, can affect stock return and stock return volatility in different directions, and this direction is time-varying. Fourth, the findings strongly reveal the presence of “Leverage Effect” in the returns of BIST-100 index. Therefore, one can say that political uncertainty is still a problem for the Turkish stock market.

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