The impact of COVID-19 on stock market returns: Empirical evidence from Nigeria

Authors

  • Mela Yila Dogo Nile University of Nigeria, Abuja, Nigeria
  • Osman Nuri Aras Tishk International University, Iraq

DOI:

https://doi.org/10.31039/ejohe.2022.6.70

Keywords:

Stock returns, COVID-19, ASI, NSE30, Nigeria

Abstract

The study investigates the causal relationship between COVID-19 and changes in the prices and volume of stocks in the Nigerian stock market, to identify whether there is a short and or long-run relationship between changes in the Nigerian Stock Exchange All Share Index 30 (NSE ASI 30) and NSE 30 traceable to the outbreak and continued presence of the coronavirus-19 diseases (COVID-19) during the period 31 December 2019 to June 30, 2020.

The paper seeks to estimate the effect of the COVID-19 shocks on the volatilities of returns in the NSE30 and ASI 30 stocks. After a property check on the times series data, a correlation matrix was drawn to understand the relationship between stock returns in NSE30 and ASI30 with total cases, test units, new cases, female and male smokers, and COVID-9 deaths. The ADF results helped us in selecting what the use in the representative model.

We then applied the Lagrange Multiplier (LM) test on the residuals of both the mean and the variance equations of the NSE30 and the Generalized Autoregressive Conditional Heteroscedastic (GARCH) to estimate the short and long-run return spillovers and conditional correlations between the shock from COVID-19 and stock market returns.

Generally, the results indicated a weak impact of COVID-19 on the returns and volume of both the NSE30 and NSE ASI 30 stocks. This is so because of some data issues and issues relating to empirics. More data will be sought, and a proper review of the paper undertaken, to ascertain its usefulness for policy.

The study concludes that to spur economic growth in COVID-19, Nigeria’s economic managers, particularly, the monetary, fiscal, and capital market regulators must learn to work as a team, to ensure complementary in their policies and thus, propel the economy out of a likely recession.

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Published

2022-03-24

How to Cite

Dogo, M. Y. ., & Aras, O. N. (2022). The impact of COVID-19 on stock market returns: Empirical evidence from Nigeria. Eurasian Journal of Higher Education, 3(6), 38–57. https://doi.org/10.31039/ejohe.2022.6.70

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