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...

Full description

Saved in:
Bibliographic Details
Published in:Review of development finance 2015-06, Vol.5 (1), p.13-23
Main Authors: Yaya, OlaOluwa S., Gil-Alana, Luis A., Adepoju, Adedayo A.
Format: Article
Language:English
Subjects:
Banking
Banking system
Banks
Banks share prices
Dependency theory
Economic crisis
Financial crisis
Fractional integration
Integration theory
Nigeria
Prices
Stock prices
Structural breaks
Citations: Items that this one cites
Items that cite this one
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary: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 semiparametric methods indicate little evidence of mean reversion since most of the orders of integration are equal to or higher than 1. 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.
ISSN:1879-9337
1879-9337
DOI:10.1016/j.rdf.2014.07.004