IMPACT OF LIQUIDITY AND VOLATILITY ON THE RETURN OF THE NIGERIAN STOCK EXCHANGE

The stock market holds an important role in the development of the Nigerian economy, the presence of uncertainty and not being able to raise funds in the stock market at the time of need impairs the return of the market and consequently the economy. Using data from 1985 to 2011, the study examines the impact of market volatility and liquidity on the return of the Nigerian Stock Exchange (NSE). Descriptive statistic and graphs are used to analyse the behaviour and the patterns of the variables while the hypotheses were tested using ordinary least squares regression, after examining the data for the presence of a unit root It was found in this study that a significant negative relationship exists between volatility and return while a significant positive relationship exists between liquidity and return. It was also observed in this study that volatility is high especially during the period of 2007 to 2010 when the market was in crises and the level of liquidity as measured by turnover low compared to other markets