COVID-19 crisis and stock market volatility in Nigeria

The economic downturns locally and internationally due to the COVID-19 crisis were main motivation for this study. However, rather than broadly examining indices, paper focused on reaction of Nigerian stock market in terms volatility crisis. specific objectives study identify differences performance COVID crisis, determine persistence ascertain leverage effects news stocks exchange floor. Adopting an ex-post facto research design, monthly time-series All-Share Index data analyzed using descriptive statistics, GARCH(1,1), EGARCH models. It was found that existed during however low. results showed asymmetric parameters did not exist revealing form effect posed market. thus had identical responses both bad good announcements same magnitude. recommended regulatory authorities policymakers be proactive their approach forecasting reduce negative indices.