Article Per Year (5 Year)
p-Index From 2020 - 2025
0.23
P-Index
This Author published in this journals
All Journal AFRE Accounting Financial Review
Samuel M Nzotta
Department of Financial Management Technology, FUTO – Nigeria
Economics, Econometrics & Finance

Published : 2 Documents Claim Missing Document
Claim Missing Document
Check
Articles

Found 2 Documents
Search

 1 
Impact of Macroeconomic Variables on Stock Return Volatility: Evidence from Sub-Sahara Africa Peter Ali; Samuel M Nzotta; A. B. C Akujuob; Chilaka E Nwaimo
AFRE (Accounting and Financial Review) Vol 1, No 2 (2018): December
Publisher : Postgraduate Program Merdeka University

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.26905/afr.v1i2.4377

Abstract

The main purpose of this paper was to investigate the impact of macroeconomic variables on stock market return volatility in Sub-Sahara markets. The study concentrated on three stock markets including Ghana, Nigeria and South Africa using GARCH-X (1,1) model on monthly data from January 2000 to December 2017. Preliminary analyses from descriptive statistics show that mean monthly returns are positive for all the stock markets. Skewness coefficients show that the stock returns and interest rates distribution of all Sub-Sahara Africa stock markets are negatively skewed but inflation rate is positively skewed for Nigeria and South Africa, and flat for Ghana. Excess kurtoses are positive for all the stock markets and macroeconomic indicators, and Jarque-Bera statistics indicate the stock markets’ series and macroeconomic indicators are not normally distributed. The Unit roots tests results indicate that all the stock markets and macroeconomic indicators are first difference stationary. The results of the GARCH-X (1,1) model show that macroeconomic variables do not significantly impact stock market returns volatility in Nigeria, Ghana and South Africa at the 5% significance Level. We therefore recommend that stock market regulators, market participants and investors should concentrate more efforts on other macroeconomic variables aside interest rate and inflation rate, in estimating stock market return volatility in Sub-Sahara Africa
Analysis of Volatility Spillover in African Stock Markets: Evidence from Nigeria, Ghana, and South Africa Peter Ali; Samuel M Nzotta; A.B.C Akujuobi; C.E. Nwaimo
AFRE (Accounting and Financial Review) Vol 5, No 1 (2022): March
Publisher : Postgraduate Program Merdeka University

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.26905/afr.v5i1.7547

Abstract

The purpose of this paper was to analyze stock market return volatility spillover between in Sub-Sahara markets using Nigeria, Ghana and South Africa monthly data from January 2000 to December 2017. Preliminary analyses from descriptive statistics show that show mean monthly returns are positive for all the stock markets. Skewness coefficients show that the stock returns and interest rates distribution of all Sub-Sahara Africa stock markets are negatively skewed but inflation rate is positively skewed for Nigeria and South Africa, and flat for Ghana. Excess kurtoses are positive for all the stock markets and macroeconomic indicators, and Jarque-Bera statistics indicate the stock markets’ series and macroeconomic indicators are not normally distributed. The Unit roots tests results indicate that all the stock markets and macroeconomic indicators are first difference stationary. The results of multivariate BEKK-GARCH (1,1) model show evidence of volatility spillover in Sub-Sahara Africa stock markets. We therefore recommend amongst others that stock market authorities should formulate and implement policies that would mitigate any negative effect of stock return volatility on the wealth of retail investors so as to sustain investors’ confidence in the African stock markets. This will eliminate the destabilising impact on the investors’ confidence on the markets.
Co-Authors A. B. C Akujuob A.B.C Akujuobi C.E. Nwaimo Chilaka E Nwaimo Peter Ali