Financial Markets Performance and Market Microstructure in Nigeria

International Journal of Economics and Management Studies

© 2019 by SSRG - IJEMS Journal

Volume 6 Issue 11

Year of Publication : 2019

Authors : OSAYI, Valentine Igbinedion, PhD , AGABI, Ishaku Irom

10.14445/23939125/IJEMS-V6I11P115

How to Cite?

OSAYI, Valentine Igbinedion, PhD , AGABI, Ishaku Irom, "Financial Markets Performance and Market Microstructure in Nigeria," SSRG International Journal of Economics and Management Studies, vol. 6,  no. 11, pp. 123-133, 2019. Crossref, https://doi.org/10.14445/23939125/IJEMS-V6I11P115

Abstract:

The study examined and measured financial markets performance and market microstructure in Nigeria. The specific objective of the study was to determine the relationship between financial market performance and market microstructure in Nigeria. The study uses the Bid-ask-Spread (BAS) as a measure for market microstructure, while Total Number of New Issues (TNI), Stock Market Capitalisation (SMC), Stock Market Index (SMI), Total Value of Transaction (TVT), Number of Listed Securities (NLS), Exchange Rate (EXR), Treasury Bill (TRB), as well as Turnover Ratio (TOR) and Inflation Rate (INF) were measures of financial market performance. Specifically, the study hypothesized that there is no relationship between financial markets performance and market microstructure in Nigeria. To empirically achieve the objective and test the formulated hypothesis, the study
utilized data spanning thirty one (32) years of the Nigerian financial markets as aggregated in the Nigerian Stock Exchange (NSE) from 1985 to 2016.
The study employed employed the Exponential Generalized Autoregressive Conditional Heteroskedasticity (EGARCH) model and other descriptive statistics estimation techniques to determine the relationship between the variables in the study. The findings from the empirical analysis of the study
revealed that, there is a significant and positive relationship between financial markets performance and market microstructure in Nigeria. In the light of the foregoing finding, the study recommends that the efficient performance of the Nigerian financial markets on the platform of market microstructure should be sustained by the government by organizing conferences, workshops, symposia and seminars for market participants on the theory of market microstructure finance so as to broaden their knowledge base on issues of market microstructure in Nigeria.

Keywords:

Bid-ask-Spread, Financial Market, Market Microstructure, Performance

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