An Appraisal Of Stock Market Prices Volatility Before Democratic Era In Nigeria

Authors: Adeniji, Sesan Oluseyi Ph.D; Prof. Nwokoma N.I.; Oke, O. Olubode (Ph.D)
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This study appraised stock market prices volatility before the democratic period in Nigeria. It examined the degree and persistence of volatility for the period of January 1985 to May 1999 using GARCH (1,1) model. The result of the empirical analysis revealed that the components of ARCH and GARCH terms is close to one and greater than 0.5 which means that stock market prices has high level of volatility in Nigeria for the period before democracy. Therefore, the sum of the square error term and conditional variance revealed that stock price volatility exist during the period under review. In the same vein, interest rate as appeared in the model depicts that it is an outside shock that influence the volatility in stock market price in Nigeria, while inflationand exchange rate were showed that the variables cannot be transmitted to the volatility in stock prices for the period of study. Hence, it was recommended that variables the influence the volatility of stock market prices should be identified and policies should be formulated to reduce increasing level of volatility of stock market prices.