Please use this identifier to cite or link to this item: http://ir.library.ui.edu.ng/handle/123456789/7692
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dc.contributor.authorGil-Alana, L. A.-
dc.contributor.authorYaya, O.S.-
dc.contributor.authorAdepoju, A. A.-
dc.date.accessioned2022-09-06T11:17:03Z-
dc.date.available2022-09-06T11:17:03Z-
dc.date.issued2015-
dc.identifier.issn1879-9337-
dc.identifier.otherui_art_gil-alana_fractional_2015-
dc.identifier.otherReview of Development Finance 5, 2015. Pp. 13–23-
dc.identifier.urihttp://ir.library.ui.edu.ng/handle/123456789/7692-
dc.description.abstractThe 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 semi parametric methods indicate little evidence of mean reversion since most of the orders of integration are equal to or higher than1. 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 Nigeriaen_US
dc.language.isoen_USen_US
dc.publisherElsevieren_US
dc.subjectBanks share pricesen_US
dc.subjectFractional integrationen_US
dc.subjectStructural breaksen_US
dc.subjectNigeriaen_US
dc.titleFractional integration and structural breaks in bank share prices in Nigeriaen_US
dc.typeArticleen_US
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