Rufus Olowe - Academia.edu (original) (raw)

Papers by Rufus Olowe

African Development Review, 1999

This study provides further evidence on the weak form efficiency of the Nigerian stock market, th... more This study provides further evidence on the weak form efficiency of the Nigerian stock market, that is, whether security prices on the Nigerian stock market adjust to historical price information. Using correlation analysis, monthly stock returns data over the period January 1981–December 1992 were employed in the analysis. The results provided support for the work of Samuels and Yacout (1981) and Ayadi (1983), that is, the Nigerian stock market appears to be efficient in the weak form.—Cet article traite de la faible efficacité de la Bourse des valeurs du Nigeria, à savoir que, à partir de nouveaux éléments, il cherche àétablir si les cours des titres cotés à la Bourse du Nigeria sont réajustés pour tenir compte des données chronologiques. A l’aide d’une analyse de corrélation, un examen des données mensuelles sur le rendement des titres, pour la période allant de janvier 1981 à décembre 1992, a été réalisé. Les résultats corroborent les travaux de Samuels et Yacout (1981) et ceux ...

SSRN Electronic Journal, 2017

Perhaps, the most familiar idea underlying debt maturity choice is the maturity-matching hypothes... more Perhaps, the most familiar idea underlying debt maturity choice is the maturity-matching hypothesis wherein liabilities' maturities correlate with assets' maturities. However, the maturitymatching hypothesis does not provide a comprehensive explanation for many empirical patterns of firm behavior. This study investigates the determinants of debt maturity choice using a panel of 50 Nigerian quoted firms between 1999 and 2014. Using simple correlation analysis and dynamic panel data regression techniques, the study documents the following findings. First, the marginal tax rate exerts positive influence on the use of short-term borrowing perhaps because firms exploit potential tax benefits of borrowing through the short-term channel, consistent with the tax hypothesis. Second, small firms with fewer tangible assets tend to utilize more short-term borrowing. This effect is more pronounced in unique industries and for dividend payers. Third, growth opportunities exert a weak positive influence on the use of short-term borrowing thus implying that short-term debt may play minor role in ameliorating the agency cost of underinvestment. However, firms with more volatile earnings and less liquid assets utilize less short-term borrowing. Finally, macroeconomic variables exert significant influences on the debt maturity choice with monetary policy and government debt wielding positive effects while private credit, term spread and economic growth have inverse effects. The findings generate important implications along four non-mutually exclusive views of debt maturity such as signaling, contracting-costs, tax and liquidity hypotheses. The study recommends corporate debt and macroeconomic policies that promote prudent use of debt maturities.

This paper investigated the monthly seasonal effect in the Nigerian stock market using the EGARCH... more This paper investigated the monthly seasonal effect in the Nigerian stock market using the EGARCH-in-mean model in the light of banking reforms, insurance reform, stock market crash and the global financial crisis using daily returns over the period 4 January 2004 to March 2, 2009.The result shows the absence of monthly effect in stock returns but there exists the July and August effects in stock volatility. It is found that, in the Nigerian stock market, returns show persistence in the volatility and clustering and asymmetric properties. The results show that volatility is persistent and there is a leverage effect supporting the work of Nelson (1991). The study found little evidence on the relationship between stock returns and risk as measured by its own volatility.

African Journal of Economic and Management Studies, 2011

PurposeThis paper aims to investigate the impact of the introduction of the 2004 bank capital req... more PurposeThis paper aims to investigate the impact of the introduction of the 2004 bank capital requirements on the quoted stock prices on the Nigerian stock market.Design/methodology/approachUsing monthly data over the period January 1986 to December 2006, residual analysis methodology was used to investigate stock price reaction to the 2004 bank capital requirements on the Nigerian stock market.FindingsThe results show that the introduction of the 2004 bank capital requirements has a positive impact on quoted securities on the Nigerian stock market. This is reflected in positive abnormal returns from the Nigerian stock market when trading is based on the information from the 2004 bank capital requirements. The results are unaffected by the choice of model. This lends support for the work of Olowe that the Nigerian stock market is inefficient in the semi‐strong form.Originality/valueThis study provides evidence on the stock price reaction to the introduction of the 2004 bank capital ...

KCA Journal of Business Management, 2011

International Journal of Economics and Finance, 2011

This paper investigated the volatility of interbank call rates in Nigeria using GARCH (1, 1), EGA... more This paper investigated the volatility of interbank call rates in Nigeria using GARCH (1, 1), EGARCH (1, 1), TS-GARCH (1, 1) and PARCH (1, 1) models in the light of the stock market crash and global financial crisis. Using data over the period, June 11, 2007 and May 20, 2009, volatility persistence and asymmetric properties are investigated for the Nigerian interbank call money market. The result shows that volatility is persistent. The hypothesis of asymmetry and leverage effect is rejected. It is found that the Nigerian interbank call money market returns show high persistence in the volatility but it shows clustering properties. The result shows the stock market crash and global financial crisis have impact on interbank call rate return but not on its volatility. The stock market crash and global financial crisis could have accounted for the sudden change in variance. The augmented TS-GARCH (1, 1) model is found to be the best model.

Journal of African Business, 2011

... DOI: 10.1080/15228916.2011.588907 Rufus Ayodeji Olowe a * pages 178-197. Available online: 28... more ... DOI: 10.1080/15228916.2011.588907 Rufus Ayodeji Olowe a * pages 178-197. Available online: 28 Jul 2011. ...

International Review of Business Research …, 2009

properties are investigated for the Nigerian foreign exchange. The impact of the deregulation of ... more properties are investigated for the Nigerian foreign exchange. The impact of the deregulation of Foreign exchange market on volatility was investigated by presenting results separately for the period before deregulation, Fixed exchange rate period (January 1970-August 2006) and managed float regime (September 2006-December 2007). The results from all the models show that volatility is persistent. The result is the same for the fixed exchange rate period and managed float rate regime. The results from all the asymmetry models rejected the hypothesis of leverage effect. This is in contrast to the work of Nelson (1991). The APARCH model and GJR-GARCH model for the managed floating rate regime show the existence of statistically significant asymmetry effect. The TS-GARCH and APARCH models are found to be the best models.

This paper examines the dynamic equilibrium relationship between a group of macroeconomic variabl... more This paper examines the dynamic equilibrium relationship between a group of macroeconomic variables and the Nigerian Stock Exchange index, using Johansen's (1991) vector error correction model. The macroeconomic variables investigated include the industrial production index, the consumer price index, money supply, oil prices and treasury bill rate. The estimation of the vector error correction model was done under two alternative definitions of money supply: M1 and M2. The results show that a cointegrating relation exists among macroeconomic variables. The cointegration relationship is consistent with earlier studies, unlike the signs of some of the variables, which are inconsistent with earlier studies.

African Development Review, 1999

This study provides further evidence on the weak form efficiency of the Nigerian stock market, th... more This study provides further evidence on the weak form efficiency of the Nigerian stock market, that is, whether security prices on the Nigerian stock market adjust to historical price information. Using correlation analysis, monthly stock returns data over the period January 1981–December 1992 were employed in the analysis. The results provided support for the work of Samuels and Yacout (1981) and Ayadi (1983), that is, the Nigerian stock market appears to be efficient in the weak form.—Cet article traite de la faible efficacité de la Bourse des valeurs du Nigeria, à savoir que, à partir de nouveaux éléments, il cherche àétablir si les cours des titres cotés à la Bourse du Nigeria sont réajustés pour tenir compte des données chronologiques. A l’aide d’une analyse de corrélation, un examen des données mensuelles sur le rendement des titres, pour la période allant de janvier 1981 à décembre 1992, a été réalisé. Les résultats corroborent les travaux de Samuels et Yacout (1981) et ceux ...

SSRN Electronic Journal, 2017

Perhaps, the most familiar idea underlying debt maturity choice is the maturity-matching hypothes... more Perhaps, the most familiar idea underlying debt maturity choice is the maturity-matching hypothesis wherein liabilities' maturities correlate with assets' maturities. However, the maturitymatching hypothesis does not provide a comprehensive explanation for many empirical patterns of firm behavior. This study investigates the determinants of debt maturity choice using a panel of 50 Nigerian quoted firms between 1999 and 2014. Using simple correlation analysis and dynamic panel data regression techniques, the study documents the following findings. First, the marginal tax rate exerts positive influence on the use of short-term borrowing perhaps because firms exploit potential tax benefits of borrowing through the short-term channel, consistent with the tax hypothesis. Second, small firms with fewer tangible assets tend to utilize more short-term borrowing. This effect is more pronounced in unique industries and for dividend payers. Third, growth opportunities exert a weak positive influence on the use of short-term borrowing thus implying that short-term debt may play minor role in ameliorating the agency cost of underinvestment. However, firms with more volatile earnings and less liquid assets utilize less short-term borrowing. Finally, macroeconomic variables exert significant influences on the debt maturity choice with monetary policy and government debt wielding positive effects while private credit, term spread and economic growth have inverse effects. The findings generate important implications along four non-mutually exclusive views of debt maturity such as signaling, contracting-costs, tax and liquidity hypotheses. The study recommends corporate debt and macroeconomic policies that promote prudent use of debt maturities.

This paper investigated the monthly seasonal effect in the Nigerian stock market using the EGARCH... more This paper investigated the monthly seasonal effect in the Nigerian stock market using the EGARCH-in-mean model in the light of banking reforms, insurance reform, stock market crash and the global financial crisis using daily returns over the period 4 January 2004 to March 2, 2009.The result shows the absence of monthly effect in stock returns but there exists the July and August effects in stock volatility. It is found that, in the Nigerian stock market, returns show persistence in the volatility and clustering and asymmetric properties. The results show that volatility is persistent and there is a leverage effect supporting the work of Nelson (1991). The study found little evidence on the relationship between stock returns and risk as measured by its own volatility.

African Journal of Economic and Management Studies, 2011

PurposeThis paper aims to investigate the impact of the introduction of the 2004 bank capital req... more PurposeThis paper aims to investigate the impact of the introduction of the 2004 bank capital requirements on the quoted stock prices on the Nigerian stock market.Design/methodology/approachUsing monthly data over the period January 1986 to December 2006, residual analysis methodology was used to investigate stock price reaction to the 2004 bank capital requirements on the Nigerian stock market.FindingsThe results show that the introduction of the 2004 bank capital requirements has a positive impact on quoted securities on the Nigerian stock market. This is reflected in positive abnormal returns from the Nigerian stock market when trading is based on the information from the 2004 bank capital requirements. The results are unaffected by the choice of model. This lends support for the work of Olowe that the Nigerian stock market is inefficient in the semi‐strong form.Originality/valueThis study provides evidence on the stock price reaction to the introduction of the 2004 bank capital ...

KCA Journal of Business Management, 2011

International Journal of Economics and Finance, 2011

This paper investigated the volatility of interbank call rates in Nigeria using GARCH (1, 1), EGA... more This paper investigated the volatility of interbank call rates in Nigeria using GARCH (1, 1), EGARCH (1, 1), TS-GARCH (1, 1) and PARCH (1, 1) models in the light of the stock market crash and global financial crisis. Using data over the period, June 11, 2007 and May 20, 2009, volatility persistence and asymmetric properties are investigated for the Nigerian interbank call money market. The result shows that volatility is persistent. The hypothesis of asymmetry and leverage effect is rejected. It is found that the Nigerian interbank call money market returns show high persistence in the volatility but it shows clustering properties. The result shows the stock market crash and global financial crisis have impact on interbank call rate return but not on its volatility. The stock market crash and global financial crisis could have accounted for the sudden change in variance. The augmented TS-GARCH (1, 1) model is found to be the best model.

Journal of African Business, 2011

... DOI: 10.1080/15228916.2011.588907 Rufus Ayodeji Olowe a * pages 178-197. Available online: 28... more ... DOI: 10.1080/15228916.2011.588907 Rufus Ayodeji Olowe a * pages 178-197. Available online: 28 Jul 2011. ...

International Review of Business Research …, 2009

properties are investigated for the Nigerian foreign exchange. The impact of the deregulation of ... more properties are investigated for the Nigerian foreign exchange. The impact of the deregulation of Foreign exchange market on volatility was investigated by presenting results separately for the period before deregulation, Fixed exchange rate period (January 1970-August 2006) and managed float regime (September 2006-December 2007). The results from all the models show that volatility is persistent. The result is the same for the fixed exchange rate period and managed float rate regime. The results from all the asymmetry models rejected the hypothesis of leverage effect. This is in contrast to the work of Nelson (1991). The APARCH model and GJR-GARCH model for the managed floating rate regime show the existence of statistically significant asymmetry effect. The TS-GARCH and APARCH models are found to be the best models.

This paper examines the dynamic equilibrium relationship between a group of macroeconomic variabl... more This paper examines the dynamic equilibrium relationship between a group of macroeconomic variables and the Nigerian Stock Exchange index, using Johansen's (1991) vector error correction model. The macroeconomic variables investigated include the industrial production index, the consumer price index, money supply, oil prices and treasury bill rate. The estimation of the vector error correction model was done under two alternative definitions of money supply: M1 and M2. The results show that a cointegrating relation exists among macroeconomic variables. The cointegration relationship is consistent with earlier studies, unlike the signs of some of the variables, which are inconsistent with earlier studies.