Fractional integration and structural breaks in bank share prices in Nigeria
Authors
Luis A. Gil-Alaña
OlaOluwa S. Yaya
Adedayo A. Adepoju
Type
Article
Publisher
Review of Development Finance Vol. 5 Issue 1
Pages
13-23
Date
01-06-2015

The 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 semiparametric methods indicate little evidence of mean reversion since most of the orders of integration are equal to or higher than 1. 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 Nigeria.

Article.