International records / OpenAlex research

Impact of Monetary Policy on Stock Portfolio Volatility

This paper examines how the announcement of the monetary policy by the Central Bank of Nigeria (CBN) can affect the volatility of stock portfolios in the Nigerian capital market between 2015 and 2024. The study uses an event-study framework combined with a GARCH(1,1) volatility model to investigate the dynamic risk characteristics of equity portfolios as a consequence of volatility and variation of important parameters of monetary policy such as Monetary Policy Rate (MPR), Cash Reserve Ratio (CRR) and Liquidity Ratio (LR).. The results pinpoint the existence of volatility clustering in the ret…