Title: The global financial crisis and stock price behaviour: time evidence from Nigeria

Authors: Patrick Olufemi Adeyeye; Olufemi Adewale Aluko; Stephen Oseko Migiro

Addresses: Graduate School of Business and Leadership, University of KwaZulu-Natal, Westville, 4000 Durban, South Africa ' Department of Finance, University of Ilorin, Ilorin, 240003, Kwara State, Nigeria ' Graduate School of Business and Leadership, University of KwaZulu-Natal, Westville, 4000 Durban, South Africa

Abstract: Extensive research was conducted on the effect of the global financial crisis on stock markets across the globe, but only a limited number focused attention on African stock markets. This study examined the impact of the global financial crisis on emerging stock market behaviour by providing evidence of the efficiency and volatility of the Nigerian stock market across different time periods. The period under review ranges between July 2004 and December 2014. It was sub-divided into the period before the crisis (July 2004-June 2007), the crisis period (July 2007-November 2011), and the period after the crisis (December 2011-December 2014). The generalised ARCH (GARCH) model was built to test for persistence of volatility shocks in the sub-sample periods, while an exponential GARCH (EGARCH) model was developed to determine asymmetry and persistence of volatility in the overall period. The study showed that price is a martingale in all sub-sample periods, except for the pre-crisis period. However, in the overall period, price is not a martingale - suggesting that the Nigerian stock market is not weak form efficient. In addition, there was evidence of long-term persistence in price volatility in the crisis, aftermath and overall periods. Holistically, this study found that the global financial crisis reduced stock prices, but did not have a significant impact on price volatility in the Nigerian stock market.

Keywords: stock price; martingale; global financial crisis; volatility; emerging stock market; Nigeria.

DOI: 10.1504/GBER.2018.091712

Global Business and Economics Review, 2018 Vol.20 No.3, pp.373 - 387

Received: 15 Feb 2016
Accepted: 09 Dec 2016
Published online: 14 May 2018 *

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