Department of Banking and Finance

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Browsing Department of Banking and Finance by Author "Abdul, Adamu"

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    EXCHANGE TRADED FUNDS AND THE VOLATILITY OF THE NIGERIAN STOCK MARKET
    (Banking and Finance Department, Nasarawa State University, Keffi, 2015-10-01) Abdul, Adamu; Barde, Barnabas E.; Abdul, Zainab Hussaini
    This study examined the effect o f Exchange Traded Funds on the volatility o f the Nigerian stock market. Using the daily stock returns All Share Index (ASI) and the two sampled ETFs between 02 January, 2014 and 30November, 2015. We tested for stationarity of the data using Augmented Dickey-Fuller (ADF) test and used the Auto Regressive Conditional Heteroscedasticity (ARCH) and Generalized Autoregressive Conditional Heteroscedasticity (GARCH) to test the volatility. The result shows the data as stationary and the presence of volatility clustering. It also shows that the previous day return of A S I information influences today's A S I return. Similarly, the ETFs also play significant influence on the volatility of A SI and stock prices. Since their influences are significant, it means that NEWGOLD and VETGRIF30 which are outside shocks transmit volatility to A SI of the NSE. It was recommended that investors and fo n d managers should not ignore the impact of news while forming expectations on their investment returns on stocks listed on Nigerian Stock Exchange (NSE)