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Fractional integration and structural breaks in bank share prices in Nigeria
The paper employs both fractional integration and structural break techniques in studying the daily share prices structure of the banking sector in Nigeria. Our data span between 2001 and 2012, covers periods before and after the global financial crisis. The results obtained using both parametric an...
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| Format: | Article |
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2015
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| LEADER | 00000njm a2000000a 4500 | ||
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| 001 | oai:repository.ui.edu.ng:123456789/7692 | ||
| 042 | |a dc | ||
| 720 | |a Gil-Alana, L. A. |e author | ||
| 720 | |a Yaya, O.S. |e author | ||
| 720 | |a Adepoju, A. A. |e author | ||
| 260 | |c 2015 | ||
| 520 | |a The paper employs both fractional integration and structural break techniques in studying the daily share prices structure of the banking sector in Nigeria. Our data span between 2001 and 2012, covers periods before and after the global financial crisis. The results obtained using both parametric and semi parametric methods indicate little evidence of mean reversion since most of the orders of integration are equal to or higher than1. Long memory is found in the absolute and squared return series. The possibility of structural breaks is also taken into account and the results show a different number of breaks depending on the bank examined. In general, an increase in the degree of dependence across time is noticed, and the most common break took place in December 2008, probably being related with the world financial crisis affecting also the banking system in Nigeria | ||
| 024 | 8 | |a 1879-9337 | |
| 024 | 8 | |a ui_art_gil-alana_fractional_2015 | |
| 024 | 8 | |a Review of Development Finance 5, 2015. Pp. 13–23 | |
| 024 | 8 | |a http://ir.library.ui.edu.ng/handle/123456789/7692 | |
| 653 | |a Banks share prices | ||
| 653 | |a Fractional integration | ||
| 653 | |a Structural breaks | ||
| 653 | |a Nigeria | ||
| 245 | 0 | 0 | |a Fractional integration and structural breaks in bank share prices in Nigeria |