n African Finance Journal - Stock market volatility and non-performing loans : evidence from stocks of the Nigerian banks




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.


Article metrics loading...

This is a required field
Please enter a valid email address
Approval was a Success
Invalid data
An Error Occurred
Approval was partially successful, following selected items could not be processed due to error