Empirical Analysis of the Risk-Return Characteristics of the Quoted Firms in the Nigerian Stock Market

Dr.Abdullahi Ibrahim Bello

Empirical Analysis of the Risk-Return Characteristics of the Quoted Firms in the Nigerian Stock Market

Dr.Abdullahi Ibrahim Bello * §

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University of Ilorin, Nigeria

Empirical Analysis of the Risk-Return Characteristics of the Quoted Firms in the Nigerian Stock Market

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Abstract

This study empirically investigates the risk-return dynamics of the Nigerian quoted firms for the period of 2000-2004 as monthly. The objective of study is to establish what determines the systematic risk (beta) of firms, the magnitude of such risk (beta) associated with returns in the Nigerian Stock Market. This study employed Ordinary Least Squares (OLS) procedure to estimate the regression in order to obtain the systematic risk (beta) of each of the firm. In addition, market model was used to estimate returns of the firms. This study revealed that the sizes of risks (betas) are different in firms studied; they varied positively with the sizes of returns. In addition, 65% of the firms’ risk (beta) is statistically significant at 1% and 5% level and most of the firms’ risks (betas) are less than Unity, which imply lower risk as compared to Market Portfolio. More importantly, most of firms’ betas are positive; suggesting limited scope for diversification in the Nigerian Stock Market. The outcome of this study conformed to similar studies in the emerging stock markets..

References

16 Cites in Article

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Funding

No external funding was declared for this work.

Conflict of Interest

The authors declare no conflict of interest.

Ethical Approval

No ethics committee approval was required for this article type.

Data Availability

Not applicable for this article.

How to Cite This Article

Dr.Abdullahi Ibrahim Bello. 1970. "Empirical Analysis of the Risk-Return Characteristics of the Quoted Firms in the Nigerian Stock Market". Global Journal of Management and Business Research - B: Economic & Commerce GJMBR-B Volume 11 (GJMBR Volume 11 Issue B8).

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GJMBR Volume 11 Issue B8

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Journal Specifications

Crossref Journal DOI 10.17406/GJMBR

Print ISSN 0975-5853

e-ISSN 2249-4588

Keywords

Risk-Return Characteristics the Quoted Firms and the Nigerian Stock Market

Classification

GJMBR-B Classification JEL Code: H54

Submission ReceivedJune 20, 2011
Peer Review Double Blind
Handling Editor
Accepted July 18, 2011
Published July 28, 2011

Version of record

v1.2

Language

English

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Article Matrices

Total Score: 154

Country: Nigeria

Subject: Global Journal of Management and Business Research

Authors: Dr.Abdullahi Ibrahim Bello,Lawal Wahab Adedokun (PhD/Dr. count: 1)

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Publish Date: 2011 07, Thu

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