Author(s)

Maruf Ariyo Raheem^*, Patrick Oseloka Ezepue

Statistics, Information Modelling, and Financial Mathematics Research Group, Department of Engineering and Mathematics, Sheffield Hallam University, Sheffield, United Kingdom.

This paper examines presence of some stylized facts of short-term stock prices in the banking sector of the Nigerian Stock Market (NSM). Non-normality, lack of autocorrelation in the returns at first lag and significant positive autocorrelation in higher magnitude returns, widely studied in other markets, are investigated using daily closing stock prices of the four major Nigerian banks (Access, First, Guaranty Trust and United Bank for Africa (UBA)), from 2001 to 2013; encompassing periods of different financial scenarios. Jarque-Bera (JB), Doonik-Hansen, Kolmogrov-Smirnov and Ljung-Box (Q) test statistics are applied. Our findings reveal that the four banks stocks behave slightly different, but generally possess the stylized facts found in other markets. Observed is that, while the distributions of the returns for two of these banks (First and UBA) are approximately symmetric and leptokurtic; those of Access and Guaranty Trust banks are significantly non-symmetric and leptokurtic, thus non-normally distributed. Also established is that, while autocorrelation functions of daily returns are either negative or zero, those of both absolute returns and the squared returns are mostly positive. The autocorrelations of absolute returns are found to be predominantly positive and more persistent than those of the squared returns; indicating volatility clustering. Consequently, we conclude that the short-term stock prices of these banks behave like those of other markets. Some implications of the results for financial investment and stock market behaviour in the banking sector of NSM are discussed.

Stylized Facts, Nigerian Stock Market (NSM), Banking Sector, Non-Normality, Volatility Clustering, SSMCD

Raheem, M. and Ezepue, P. (2018) Some Stylized Facts of Short-Term Stock Prices of Selected Nigerian Banks. Open Journal of Statistics, 8, 94-133. doi: 10.4236/ojs.2018.81008.