FINAMETRIC ANALYSIS OF NIGERIA STOCK MARKET AND VOLATILITY OF RETURNS

Abstract

The study empirically examined nexus between efficient capital market and stock return volatility in Nigeria. Data used was extracted from CBN statistical bulletin 2014; the study also employed vigorous econometric tools such as GARCH model, ARCH model, GARCH graph, stationary test, johanse co-integration, Granger causality test, impulse and variance decomposition test. The test result revealed that stock return is volatile in an efficient market due to announcement of relevant information and that the prices of security in the market is on the downward trend; it is therefore recommended that investors should take due advantage of the low prices of securities in the market.