TITLE:
Some Stylized Facts of Short-Term Stock Prices of Selected Nigerian Banks
AUTHORS:
Maruf Ariyo Raheem, Patrick Oseloka Ezepue
KEYWORDS:
Stylized Facts, Nigerian Stock Market (NSM), Banking Sector, Non-Normality, Volatility Clustering, SSMCD
JOURNAL NAME:
Open Journal of Statistics,
Vol.8 No.1,
February
6,
2018
ABSTRACT: This paper examines presence of some stylized facts
of short-term stock prices in the banking sector of the Nigerian Stock Market
(NSM). Non-normality, lack of autocorrelation in the returns at first lag and
significant positive autocorrelation in higher magnitude returns, widely
studied in other markets, are investigated using daily closing stock prices of
the four major Nigerian banks (Access, First, Guaranty Trust and United Bank
for Africa (UBA)), from 2001 to 2013; encompassing periods of different financial
scenarios. Jarque-Bera (JB), Doonik-Hansen, Kolmogrov-Smirnov and Ljung-Box (Q)
test statistics are applied. Our findings reveal that the four banks stocks
behave slightly different, but generally possess the stylized facts found in
other markets. Observed is that, while the distributions of the returns for two
of these banks (First and UBA) are approximately symmetric and leptokurtic;
those of Access and Guaranty Trust banks are significantly non-symmetric and
leptokurtic, thus non-normally distributed. Also established is that, while
autocorrelation functions of daily returns are either negative or zero, those
of both absolute returns and the squared returns are mostly positive.
The autocorrelations of absolute returns are found to be predominantly positive
and more persistent than those of the squared returns; indicating volatility
clustering. Consequently, we conclude that the short-term stock prices of these
banks behave like those of other markets. Some implications of the results for
financial investment and stock market behaviour in the banking sector of NSM
are discussed.