n African Finance Journal - Stock market volatility and non-performing loans : evidence from stocks of the Nigerian banks
|Article Title||Stock market volatility and non-performing loans : evidence from stocks of the Nigerian banks|
|© Publisher:||AfricaGrowth Institute|
|Journal||African Finance Journal|
|Affiliations||1 Obafemi Awolowo University, Nigeria, 2 Obafemi Awolowo University, Nigeria and 3 Obafemi Awolowo University, Nigeria|
|Publication Date||Jan 2013|
|Pages||82 - 104|
|Keyword(s)||C13, EGARCH model, GED residuals, Heteroscedasticity and Returns|
This study examined the empirical relationship between stock market volatility and non-performing loans (NPL) of banks using the Exponential Generalized Autoregressive Heteroscedasticity (EGARCH) model. Taking into account the excess kurtosis in high frequency data, it estimated EGARCH model using generalized error distributions (GED). Results indicated a positive relationship between stock volatility and NPL. In addition, we found evidence to support an adverse asymmetric reaction with negative shock, on the average, increasing volatility more than the positive.
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