This paper examines the management of the financial statement of UBA using goal programming (GP) ... more This paper examines the management of the financial statement of UBA using goal programming (GP) technique. The data are collected from the annual financial statement of the bank to cover a period of 2007 to 2011. Six goals are identified in the bank: goal (1) (asset accumulation); goal 2 (liability reduction); goal 3 (shareholders ’ wealth); goal 4 (earning); goal 5 (profitability); and goal 6 (optimum management of the items in the financial statement). Applying POM-QM Version 3 software, the solution generated reveals that besides goal 2, all other goals are attainable by the bank. It is not therefore possible for the bank to reduce its liabilities, for the sake of reducing or increasing the other items of its financial statement. Based on this, it is concluded that the bank should convert its liabilities to earning assets quickly or as much as possible.
Journal of Knowledge Management, Economics, and Information Technology, 2013
The paper investigates the long-run relationship between government expenditures and a set of mac... more The paper investigates the long-run relationship between government expenditures and a set of macroeconomic variables (GDP, consumer price index and unemployment) using annual data collected from CBN statistical bulletin for a period of 19891 to 2011. It particularly adopts Johansen multivariate co integration for its estimation procedure and discovers that there is long-run relationship between government expenditure and the specified macroeconomic variables. It also discovers that an increase in capital expenditure improves economic bliss, while recurrent expenditure is detrimental to growth. Finally, our findings show that most of the variables do not Granger cause each other, but however, recurrent expenditure Granger causes prices, in the same veil capital expenditure does granger cause unemployment.
The study presents an empirical investigation on the determination of priced risk factors and con... more The study presents an empirical investigation on the determination of priced risk factors and consideration of risk-return trade-off using monthly security data in the Nigerian stock market for the period of 2003 to 2011. The results show that the unconditional market factors are not priced but they maintain positive relationship with return except the systematic co-kurtosis while the effects of four latent size and value risk factors are evident in the market. However, one of the latent factors and value factor show negative relationship.
The study develops VAR-GARCH models with Granger causality framework to examine the direction of ... more The study develops VAR-GARCH models with Granger causality framework to examine the direction of causality flows, information transmission and trade-off between credit risk and interest rate volatility, using time series data collected from the CBN statistical bulletin and the annual accounting reports of deposit money banks for a period of 1981 to 2011. Our findings show that there is zero causality between credit risk and interest rate volatility; also, a transmission mechanism or a “pass through” is not found between the two variables. However, the two variables maintain non-monotonic relationship for the specified period.
We examine whether the predictability of future returns from past returns is due to the presence ... more We examine whether the predictability of future returns from past returns is due to the presence of anomaly in Nigeria stock market using monthly returns of 60 equity stocks that were actively traded for the period of Jan 2012 to June 2016. Using the modified Cahart four-factor model with requisite value weight to test for momentum profits against the market factors performance. We document that the momentum profit exceeds that of the market factors and that non-market factors outperform that of the market factors. Financial analysts and researchers in predicting and formulating dependable risk-return of stock and portfolio could rely on this apparent superior model, as it provides a better explanatory power. Key-words: Value premium; Momentum Premium; Three-factor model; Four-factor model; JEL classification: G12
In this study, we presented robust analyses of the Nigerian equity market using weekly stock pric... more In this study, we presented robust analyses of the Nigerian equity market using weekly stock prices of 140 listed companies in Nigeria over the period of Jan 1 2006 to Dec 27 2012. We adopted two sets of tests. The first set comprises Llliefors, Cramer-Von-Mises, Anderson-Darling and Ljung-Box which confirmed that stock prices are not normally distributed. But the second set includes size/rank variance ratio tests and TGARCH in mean technique. The tests jointly revealed strong presence of inefficiency as anomalies can be traced to persisted volatility, lack of randomity, significant effects of information and heteroskedasticity/leptokurtic nature of stock prices. We therefore conclude that the information plays significant role in Nigerian stock market.
This study provides an extension to the a-priori relationship between growth and market developme... more This study provides an extension to the a-priori relationship between growth and market development by including market volatility and volatility uncertainty into the model. The extended model takes the form of ADRL framework and it is estimated over a period of 1985 to 2012 using time series data on GDP and market capitalization index which are sourced from the Nigerian Central Bank Statistical Bulletin. We particularly adopt the bound test or ADRL approach to co integration and find that there is the presence of long-run relationship between growth, market performance, market volatility and volatility uncertainty. Also, the results of VEC Granger Causality reveal that both market performance and market volatility lead economic growth in Nigeria and they provide positive impact on growth. However, volatility uncertainty decreases with a rise in growth rate.
This study examines the significance of the risk factors in the CAPM with higher order co-moments... more This study examines the significance of the risk factors in the CAPM with higher order co-moments using a two-pass methodological technique of Fama and Macbeth. Stock prices of 53 companies out of the 207 listed in Nigerian Stock Exchange (NSE) for a sample period January 2003 to December 2011 are analyzed. The study particularly augments the model using unconditional and conditional information. The unconditional test reveals that only the co-skewness risk is priced while the covariance and co-skewness demonstrate weak relationship with asset returns; while the conditional test shows that all the risk factors in the up-market are not priced but the covariance and co-skewness risk play significant role in explaining asset returns in the down-market phase. However, the conditional information has improved the descriptive ability of the model.
Jurnal Perspektif Pembiayaan dan Pembangunan Daerah, 2020
In this paper, we account for memory failure or otherwise in the daily evolution of stock return ... more In this paper, we account for memory failure or otherwise in the daily evolution of stock return and volatility within the purview of short and long ranges based on the arrival of fundamental news. This accounts for the return on assets in the current period to be a function of returns realized in the pasts. To achieve this objective, we estimated ARMA, ARFIMA, GARCH, FIGARCH and HYGARCH models. After implementing maximum likelihood estimation technique, we found out that the ARMA coefficients were not significant, the GARCH coefficients were significant and the memory coefficients in terms of ARFIMA, FIGARCH and HYGARCH were statistically significant. In the light of these, we propose the rejection of efficient hypothesis in the long range and document a single memory in volatility in the short range. The study recommends that ARFIMA and HYGARCH are the best forecasting models for return and volatility respectively in the Nigerian stock market.
British Journal of Economics, Management & Trade, 2015
The study provides a modified credit risk to reveal the relationships between a set of macroecono... more The study provides a modified credit risk to reveal the relationships between a set of macroeconomic variables and bank risk in Nigeria for 1981 to 2013 using time series data from the various volumes of the CBN Statistic bulletin and the annual financial review of the banks. The results reveal that growth rate, interest rate and monetary policy rate have significant relationships with credit risk while unemployment and money supply maintain zero relationships. However, the strength of these relationships is found to be stronger in the regime of consolidation than deregulation era in Nigeria.
International Business & Economics Research Journal (IBER), 2014
The studies on beta variability have been fully documented in the literature with various empiric... more The studies on beta variability have been fully documented in the literature with various empirical stances, meaning that a concession has not been reached. In view of this we employ the variable Mean Response Regression Model to investigate the random movement of beta coefficients over time and across market phases, using monthly stock returns from Nigerian Stock Exchange (NSE). Our findings based on this model show that beta coefficients move randomly around a trend line when the market is up-beat, whereas they tend to be less volatile in the down market. However, a long-run equilibrium relationship between the return on the individual security and beta components is evident in the two markets. Based on these findings we recommend that investors should arbitrage between these markets and take advantage of price differentials to earn riskless profit.
This paper examines the management of the financial statement of UBA using goal programming (GP) ... more This paper examines the management of the financial statement of UBA using goal programming (GP) technique. The data are collected from the annual financial statement of the bank to cover a period of 2007 to 2011. Six goals are identified in the bank: goal (1) (asset accumulation); goal 2 (liability reduction); goal 3 (shareholders ’ wealth); goal 4 (earning); goal 5 (profitability); and goal 6 (optimum management of the items in the financial statement). Applying POM-QM Version 3 software, the solution generated reveals that besides goal 2, all other goals are attainable by the bank. It is not therefore possible for the bank to reduce its liabilities, for the sake of reducing or increasing the other items of its financial statement. Based on this, it is concluded that the bank should convert its liabilities to earning assets quickly or as much as possible.
Journal of Knowledge Management, Economics, and Information Technology, 2013
The paper investigates the long-run relationship between government expenditures and a set of mac... more The paper investigates the long-run relationship between government expenditures and a set of macroeconomic variables (GDP, consumer price index and unemployment) using annual data collected from CBN statistical bulletin for a period of 19891 to 2011. It particularly adopts Johansen multivariate co integration for its estimation procedure and discovers that there is long-run relationship between government expenditure and the specified macroeconomic variables. It also discovers that an increase in capital expenditure improves economic bliss, while recurrent expenditure is detrimental to growth. Finally, our findings show that most of the variables do not Granger cause each other, but however, recurrent expenditure Granger causes prices, in the same veil capital expenditure does granger cause unemployment.
The study presents an empirical investigation on the determination of priced risk factors and con... more The study presents an empirical investigation on the determination of priced risk factors and consideration of risk-return trade-off using monthly security data in the Nigerian stock market for the period of 2003 to 2011. The results show that the unconditional market factors are not priced but they maintain positive relationship with return except the systematic co-kurtosis while the effects of four latent size and value risk factors are evident in the market. However, one of the latent factors and value factor show negative relationship.
The study develops VAR-GARCH models with Granger causality framework to examine the direction of ... more The study develops VAR-GARCH models with Granger causality framework to examine the direction of causality flows, information transmission and trade-off between credit risk and interest rate volatility, using time series data collected from the CBN statistical bulletin and the annual accounting reports of deposit money banks for a period of 1981 to 2011. Our findings show that there is zero causality between credit risk and interest rate volatility; also, a transmission mechanism or a “pass through” is not found between the two variables. However, the two variables maintain non-monotonic relationship for the specified period.
We examine whether the predictability of future returns from past returns is due to the presence ... more We examine whether the predictability of future returns from past returns is due to the presence of anomaly in Nigeria stock market using monthly returns of 60 equity stocks that were actively traded for the period of Jan 2012 to June 2016. Using the modified Cahart four-factor model with requisite value weight to test for momentum profits against the market factors performance. We document that the momentum profit exceeds that of the market factors and that non-market factors outperform that of the market factors. Financial analysts and researchers in predicting and formulating dependable risk-return of stock and portfolio could rely on this apparent superior model, as it provides a better explanatory power. Key-words: Value premium; Momentum Premium; Three-factor model; Four-factor model; JEL classification: G12
In this study, we presented robust analyses of the Nigerian equity market using weekly stock pric... more In this study, we presented robust analyses of the Nigerian equity market using weekly stock prices of 140 listed companies in Nigeria over the period of Jan 1 2006 to Dec 27 2012. We adopted two sets of tests. The first set comprises Llliefors, Cramer-Von-Mises, Anderson-Darling and Ljung-Box which confirmed that stock prices are not normally distributed. But the second set includes size/rank variance ratio tests and TGARCH in mean technique. The tests jointly revealed strong presence of inefficiency as anomalies can be traced to persisted volatility, lack of randomity, significant effects of information and heteroskedasticity/leptokurtic nature of stock prices. We therefore conclude that the information plays significant role in Nigerian stock market.
This study provides an extension to the a-priori relationship between growth and market developme... more This study provides an extension to the a-priori relationship between growth and market development by including market volatility and volatility uncertainty into the model. The extended model takes the form of ADRL framework and it is estimated over a period of 1985 to 2012 using time series data on GDP and market capitalization index which are sourced from the Nigerian Central Bank Statistical Bulletin. We particularly adopt the bound test or ADRL approach to co integration and find that there is the presence of long-run relationship between growth, market performance, market volatility and volatility uncertainty. Also, the results of VEC Granger Causality reveal that both market performance and market volatility lead economic growth in Nigeria and they provide positive impact on growth. However, volatility uncertainty decreases with a rise in growth rate.
This study examines the significance of the risk factors in the CAPM with higher order co-moments... more This study examines the significance of the risk factors in the CAPM with higher order co-moments using a two-pass methodological technique of Fama and Macbeth. Stock prices of 53 companies out of the 207 listed in Nigerian Stock Exchange (NSE) for a sample period January 2003 to December 2011 are analyzed. The study particularly augments the model using unconditional and conditional information. The unconditional test reveals that only the co-skewness risk is priced while the covariance and co-skewness demonstrate weak relationship with asset returns; while the conditional test shows that all the risk factors in the up-market are not priced but the covariance and co-skewness risk play significant role in explaining asset returns in the down-market phase. However, the conditional information has improved the descriptive ability of the model.
Jurnal Perspektif Pembiayaan dan Pembangunan Daerah, 2020
In this paper, we account for memory failure or otherwise in the daily evolution of stock return ... more In this paper, we account for memory failure or otherwise in the daily evolution of stock return and volatility within the purview of short and long ranges based on the arrival of fundamental news. This accounts for the return on assets in the current period to be a function of returns realized in the pasts. To achieve this objective, we estimated ARMA, ARFIMA, GARCH, FIGARCH and HYGARCH models. After implementing maximum likelihood estimation technique, we found out that the ARMA coefficients were not significant, the GARCH coefficients were significant and the memory coefficients in terms of ARFIMA, FIGARCH and HYGARCH were statistically significant. In the light of these, we propose the rejection of efficient hypothesis in the long range and document a single memory in volatility in the short range. The study recommends that ARFIMA and HYGARCH are the best forecasting models for return and volatility respectively in the Nigerian stock market.
British Journal of Economics, Management & Trade, 2015
The study provides a modified credit risk to reveal the relationships between a set of macroecono... more The study provides a modified credit risk to reveal the relationships between a set of macroeconomic variables and bank risk in Nigeria for 1981 to 2013 using time series data from the various volumes of the CBN Statistic bulletin and the annual financial review of the banks. The results reveal that growth rate, interest rate and monetary policy rate have significant relationships with credit risk while unemployment and money supply maintain zero relationships. However, the strength of these relationships is found to be stronger in the regime of consolidation than deregulation era in Nigeria.
International Business & Economics Research Journal (IBER), 2014
The studies on beta variability have been fully documented in the literature with various empiric... more The studies on beta variability have been fully documented in the literature with various empirical stances, meaning that a concession has not been reached. In view of this we employ the variable Mean Response Regression Model to investigate the random movement of beta coefficients over time and across market phases, using monthly stock returns from Nigerian Stock Exchange (NSE). Our findings based on this model show that beta coefficients move randomly around a trend line when the market is up-beat, whereas they tend to be less volatile in the down market. However, a long-run equilibrium relationship between the return on the individual security and beta components is evident in the two markets. Based on these findings we recommend that investors should arbitrage between these markets and take advantage of price differentials to earn riskless profit.
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