RISK-RETURN RELATIONSHIP IN THE NIGERIAN STOCK MARKET DURING PANDEMIC COVID-19: SECTORAL PANEL GARCH APPROACH
This study examines how the Nigerian Stock Exchange (NSE) is responding to the COVID-19 pandemic in the form of risk-return relationship and volatility. Panel data analyses of GARCH-in-mean and Threshold GARCH were estimated on three error distributional assumptions. All Share Index (ASI) from Janu...
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| Format: | Article |
| Language: | English |
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Nicolaus Copernicus University in Toruń
2022-02-01
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| Series: | Copernican Journal of Finance & Accounting |
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| Online Access: | https://apcz.umk.pl/CJFA/article/view/37579 |