Macroeconomic news announcements and asymmetric volatility of stock returns: The Nigerian case

• Autores: Joshua Odutola Omokehinde, Richard Oreoluwa Akingunola
• Localización: Aestimatio: The IEB International Journal of Finance, ISSN 2173-0164, Nº. 17, 2018, págs. 146-163
• Idioma: inglés
• Títulos paralelos:
  • Noticias macroeconómicas y asimetría en la volatilidad de los rendimientos bursátiles: el caso nigeriano
• Enlaces
  • Texto completo (pdf)
• Resumen
  • español

    En este artículo se estudia el efecto de las noticias de carácter macroeconómico en la volatilidad de los rendimientos bursátiles. Para ello se utiliza información diaria de cierre del ALL-Share Index de la Bolsa de Valores de Nigeria, para el periodo 2000-2015.

    Este periodo ha sido dividido en dos subperiodos: 2000-2007 y 2008-2015, con el objetivo de evaluar el efecto de la crisis financiera global sobre la volatilidad de los rendimientos bursátiles en Nigeria. Este artículo aporta a la literatura existente sobre la cuestión un modelo AR-EGARCH, cuya especificación se aumenta con el anuncio de noticas macroeconómicas, con distribución de error generalizada. Los resultados obtenidos muestran la no significatividad del efecto del anuncio de noticias macroeconómicas sobre los rendimientos bursátiles. Ello implica una respuesta pasiva de los inversores ante tales noticias, a la vez que confirma la debilidad de la eficiencia del mercado y las evidencias de asimetría. El parámetro de asimetría es negativo en los dos subperiodos considerados (así como en el periodo total objeto de estudio), sugiriendo que las malas noticias están correlacionadas positivamente con la volatilidad y negativamente con los rendimientos bursátiles, y viceversa. Sin embargo, los resultados solo son significativos en 2000-2007. La suma de los coeficientes ARCH y GARCH (α + β) sugiere una persistencia en volatilidad que necesita un largo periodo de tiempo para atenuarse.

  • English

    This paper investigatesthe effect of macroeconomic news announcements on the volatility ofstock returnsin Nigeria using daily closing prices of the All-Share Indexfrom The Nigerian Stock Exchange from 2000 to 2015. This period is divided into two equal subperiods — from 2000 to 2007, and from 2008 to 2015 — to properly examine the effect of the 2008 global financial crisis on the volatility of stock returns in Nigeria. We extend existing literature by augmenting the AR-EGARCH econometric model with macroeconomic news announcements to specify both the conditional mean and volatility equations under the Generalized Error Distribution function. The empirical results reveal an insignificant effect of macroeconomic news announcements on stock returns. This implies that investors respond passively to macroeconomic news and it also confirms the weak-form efficiency of the market with evidence of asymmetries. The asymmetric parameters are negative in all the periods under study but only significant in 2000-2007, suggesting that bad news is positively correlated with volatility and negatively correlated with returns while the opposite istrue for good news. The sums of ARCH and GARCH coefficients(α + β) are above unity in all cases, indicating evidence of volatility persistence that takes a long time to attenuate

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