Ayodeji’s research while affiliated with University of Lagos and other places

This paper investigated the relation between stock returns and volatility in Nigeria using E-GARCH-in-mean model in the light of banking reforms, insurance reform, stock market crash and the global financial crisis. Using daily returns over the period 4 January 2004 to January 9, 2009, Volatility persistence, asymmetric properties and risk-return relationship are investigated for the Nigerian stock market. The result also shows that volatility is persistent and there is leverage effect supporting the work of Nelson (1991) .The study found little evidence on the relationship between stock returns and risk as measured by its own volatility. The study found positive but insignificant relationship between stock return and risk. The result shows the banking reform in July 2004 and stock market crash since April 2008 negatively impacts on stock return while insurance reform and the global financial crisis have no impact on stock return. The stock market crash of 2008 is found to have contributed to the high volatility persistence in the Nigerian stock market especially during the global financial crisis period. The stock market crash is also found to have accounted for the sudden change in variance.

This paper investigated the volatility of Naira/Dollar exchange rates in Nigeria using GARCH (1,1), GJR-GARCH(1,1), EGARCH(1,1), APARCH(1,1), IGARCH(1,1) and TS-GARCH(1,1) models. Using monthly data over the period January 1970 to December 2007, Volatility persistence and asymmetric properties are investigated for the Nigerian foreign exchange. The impact of the deregulation of Foreign exchange market on volatility was investigated by presenting results separately for the period before deregulation, Fixed exchange rate period (January 1970-August 2006) and managed float regime (September 2006 -December 2007). The results from all the models show that volatility is persistent. The result is the same for the fixed exchange rate period and managed float rate regime. The results from all the asymmetry models rejected the hypothesis of leverage effect. This is in contrast to the work of Nelson (1991). The APARCH model and GJR-GARCH model for the managed floating rate regime show the existence of statistically significant asymmetry effect. The TS-GARCH and APARCH models are found to be the best models.