IDEAS home Printed from https://ideas.repec.org/a/afj/journl/v15y2013i1p82-104.html
   My bibliography  Save this article

Stock Market Volatility And Non-Performing Loans: Evidence From Stocks Of The Nigerian Banks

Author

Listed:
  • Sayo Oludare
  • Michael Olagunju
  • Olusegun Adelodun

    (Obafemi Awolowo University)

Abstract

This study examined the empirical relationship between stock market volatility and non-performing loans (NPL) of banks using the Exponential Generalized Autoregressive Heteroscedasticity (EGARCH) model. Taking into account the excess kurtosis in high frequency data, it estimated EGARCH model using generalized error distributions (GED). Results indicated a positive relationship between stock volatility and NPL. In addition, we found evidence to support an adverse asymmetric reaction with negative shock, on the average, increasing volatility more than the positive.

Suggested Citation

  • Sayo Oludare & Michael Olagunju & Olusegun Adelodun, 2013. "Stock Market Volatility And Non-Performing Loans: Evidence From Stocks Of The Nigerian Banks," The African Finance Journal, Africagrowth Institute, vol. 15(1), pages 82-104.
    • Handle: RePEc:afj:journl:v:15:y:2013:i:1:p:82-104
    as

    Download full text from publisher

    File URL: http://www.journals.co.za/ej/ejour_finj.html
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    EGARCH model; GED residuals; returns; heteroscedasticity;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:afj:journl:v:15:y:2013:i:1:p:82-104. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kirk De Doncker (email available below). General contact details of provider: https://edirc.repec.org/data/afrgrza.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.