Modelling the Impact of the COVID-19 Pandemic on Some Nigerian Sectorial Stocks: Evidence from GARCH Models with Structural Breaks
This study provides evidence of the impact of COVID-19 on five (5) Nigerian Stock Exchange (NSE) sectorial stocks (NSE Insurance, NSE Banking, NSE Oil and Gas, NSE Food and Beverages, and NSE Consumer Goods). To achieve the goal of this paper, daily stock prices were obtained from a secondary source...
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| Format: | Article |
| Language: | English |
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MDPI AG
2022-12-01
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| Series: | FinTech |
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| Online Access: | https://www.mdpi.com/2674-1032/2/1/1 |
| _version_ | 1797858430343446528 |
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| author | Monday Osagie Adenomon Richard Adekola Idowu |
| author_facet | Monday Osagie Adenomon Richard Adekola Idowu |
| author_sort | Monday Osagie Adenomon |
| collection | DOAJ |
| description | This study provides evidence of the impact of COVID-19 on five (5) Nigerian Stock Exchange (NSE) sectorial stocks (NSE Insurance, NSE Banking, NSE Oil and Gas, NSE Food and Beverages, and NSE Consumer Goods). To achieve the goal of this paper, daily stock prices were obtained from a secondary source ranging from 2 January 2020 to 25 March 2021. Because of the importance of incorporating structural breaks in modelling stock returns, the Zivot–Andrews unit root test revealed 20 January 2021, 26 March 2020, 27 July 2020, 23 March 2020 and 23 March 2020 as potential break points for NSE Insurance, NSE Food, Beverages and Tobacco, NSE Oil and Gas, NSE Banking, and NSE Consumer Goods, respectively. This study investigates the volatility in daily stock returns for the five (5) Nigerian Stock Exchange (NSE) sectorial stocks using nine versions of GARCH models (sGARCH, girGARCH, eGARCH, iGARCH, aPARCH, TGARCH, NGARCH, NAGARCH, and AVGARCH); in addition, the half-life and persistence values were obtained. The study used the Student <i>t</i>- and skewed Student <i>t</i>-distributions. The results from the GARCH models revealed a negative impact of COVID-19 on the NSE Insurance, NSE Food, Beverages and Tobacco, NSE Banking, and NSE Consumer Goods stock returns; however, the NSE Oil and Gas returns showed a positive correlation with the COVID-19 pandemic. This study recommends that the shareholders, investors, and policy players in the Nigerian Stock Exchange markets should be adequately prepared in the form of diversification of investment in stocks that can withstand future possible crises in the market. |
| first_indexed | 2024-04-09T21:13:16Z |
| format | Article |
| id | doaj.art-a9208e9c1da04e058ffb9671193b1cea |
| institution | Directory Open Access Journal |
| issn | 2674-1032 |
| language | English |
| last_indexed | 2024-04-09T21:13:16Z |
| publishDate | 2022-12-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | FinTech |
| spelling | doaj.art-a9208e9c1da04e058ffb9671193b1cea2023-03-28T13:36:29ZengMDPI AGFinTech2674-10322022-12-012112010.3390/fintech2010001Modelling the Impact of the COVID-19 Pandemic on Some Nigerian Sectorial Stocks: Evidence from GARCH Models with Structural BreaksMonday Osagie Adenomon0Richard Adekola Idowu1Department of Statistics, Nasarawa State University, PMB 1022, Keffi 911019, NigeriaMathematics Department, Prairie View A&M University, Prairie View, TX 77446, USAThis study provides evidence of the impact of COVID-19 on five (5) Nigerian Stock Exchange (NSE) sectorial stocks (NSE Insurance, NSE Banking, NSE Oil and Gas, NSE Food and Beverages, and NSE Consumer Goods). To achieve the goal of this paper, daily stock prices were obtained from a secondary source ranging from 2 January 2020 to 25 March 2021. Because of the importance of incorporating structural breaks in modelling stock returns, the Zivot–Andrews unit root test revealed 20 January 2021, 26 March 2020, 27 July 2020, 23 March 2020 and 23 March 2020 as potential break points for NSE Insurance, NSE Food, Beverages and Tobacco, NSE Oil and Gas, NSE Banking, and NSE Consumer Goods, respectively. This study investigates the volatility in daily stock returns for the five (5) Nigerian Stock Exchange (NSE) sectorial stocks using nine versions of GARCH models (sGARCH, girGARCH, eGARCH, iGARCH, aPARCH, TGARCH, NGARCH, NAGARCH, and AVGARCH); in addition, the half-life and persistence values were obtained. The study used the Student <i>t</i>- and skewed Student <i>t</i>-distributions. The results from the GARCH models revealed a negative impact of COVID-19 on the NSE Insurance, NSE Food, Beverages and Tobacco, NSE Banking, and NSE Consumer Goods stock returns; however, the NSE Oil and Gas returns showed a positive correlation with the COVID-19 pandemic. This study recommends that the shareholders, investors, and policy players in the Nigerian Stock Exchange markets should be adequately prepared in the form of diversification of investment in stocks that can withstand future possible crises in the market.https://www.mdpi.com/2674-1032/2/1/1COVID-19NSEGARCHstructural breakspersistencehalf-life |
| spellingShingle | Monday Osagie Adenomon Richard Adekola Idowu Modelling the Impact of the COVID-19 Pandemic on Some Nigerian Sectorial Stocks: Evidence from GARCH Models with Structural Breaks FinTech COVID-19 NSE GARCH structural breaks persistence half-life |
| title | Modelling the Impact of the COVID-19 Pandemic on Some Nigerian Sectorial Stocks: Evidence from GARCH Models with Structural Breaks |
| title_full | Modelling the Impact of the COVID-19 Pandemic on Some Nigerian Sectorial Stocks: Evidence from GARCH Models with Structural Breaks |
| title_fullStr | Modelling the Impact of the COVID-19 Pandemic on Some Nigerian Sectorial Stocks: Evidence from GARCH Models with Structural Breaks |
| title_full_unstemmed | Modelling the Impact of the COVID-19 Pandemic on Some Nigerian Sectorial Stocks: Evidence from GARCH Models with Structural Breaks |
| title_short | Modelling the Impact of the COVID-19 Pandemic on Some Nigerian Sectorial Stocks: Evidence from GARCH Models with Structural Breaks |
| title_sort | modelling the impact of the covid 19 pandemic on some nigerian sectorial stocks evidence from garch models with structural breaks |
| topic | COVID-19 NSE GARCH structural breaks persistence half-life |
| url | https://www.mdpi.com/2674-1032/2/1/1 |
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