Please use this identifier to cite or link to this item: http://ir.library.ui.edu.ng:8080/jspui/handle/123456789/940
Title: Estimating bull and bear betas for the Nigerian stock market using Logistic Smooth Threshold Model
Authors: Tumala, M. M.
Yaya, O. S.
Keywords: Logistic smooth threshold model
Nonlinear least squares
Market beta
Market returns
Issue Date: Dec-2015
Publisher: The Central Bank of Nigeria
Abstract: In this paper, we examine the Nigerian stock market sector returns and estimate the bull and bear betas using the Logistic Smooth Threshold Market (LSTM) model. The LSTM model specification follows from the linear Constant Risk Market (CRM) model. We estimate the LSTM model for the overall sampled daily time series from 2001 to 2012 using the conditional nonlinear least squares approach. We also estimate the model for each of the All share Index (ASI) sub-samples taking the time of financial crisis (February 2008) as the break point. The results show the significant correlations of stocks returns in each market industry with ASI. Nonlinear LSTM dynamics are found to be significant, with significant bull and bear betas in the overall and each of the sub-samples. We find in particular, that the Petroleum, Finance, and Food and Beverages sector equities to be of higher investment risk within the study period.
URI: http://hdl.handle.net/123456789/940
ISSN: 2141-9272
Appears in Collections:Academic Publications in Statistics

Files in This Item:
File Description SizeFormat 
ui_art_tumala_estimating_2015.pdf697.1 kBAdobe PDFView/Open


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.