Effect of short selling on risk and return in Nigerian stock market
Joint Authors
Olatunji Oyedekoa, Yusuf
Gbadebo, Abraham Oketooyin
Source
Algerian Journal of Economic Performance
Issue
Vol. 7, Issue 1 (31 Dec. 2022), pp.162-182, 21 p.
Publisher
Publication Date
2022-12-31
Country of Publication
Algeria
No. of Pages
21
Main Subjects
Topics
Abstract EN
The study looked at the effect of short selling on risk and return in the Nigerian stock market.
Purposive sampling was employed throughout the study period 2005 to 2020 to determine the sample size for the stocks of 113 companies' stock.
The monthly stock prices, market index, risk-free rate, ownership shareholdings, market capitalization, book value of equity, earnings before interest and taxes, and total assets were the data used in this study.
The sub-sample period, 2005– 2008, 2009– 2012, 2013– 2016, and 2017– 2020, were covered by the study.
The data was extracted from the Nigerian Group of Exchange (NGX) website, the Central Bank of Nigeria (CBN) website, and the Standard and Poor (S&P) database.
The Fama-MacBeth two-step regression method was employed.
It was found that the short selling strategy has a negative and insignificant effect on returns in the Nigerian stock market.
On the other hand, it has been documented that short selling has a negative but significant effect on risk in the Nigerian stock market.
The study concluded that short-selling strategies could be used as investment strategies that could promote efficiency if properly monitored and regulated in the Nigerian stock market.
If not, they could lead to price pressure and volatility in the Nigerian stock market.
The study recommended that a well-regulated short selling investment strategy promotes stock market efficiency through an increased liquidity and minimized volatility in the Nigerian stock market.
American Psychological Association (APA)
Gbadebo, Abraham Oketooyin& Olatunji Oyedekoa, Yusuf. 2022. Effect of short selling on risk and return in Nigerian stock market. Algerian Journal of Economic Performance،Vol. 7, no. 1, pp.162-182.
https://search.emarefa.net/detail/BIM-1512389
Modern Language Association (MLA)
Gbadebo, Abraham Oketooyin& Olatunji Oyedekoa, Yusuf. Effect of short selling on risk and return in Nigerian stock market. Algerian Journal of Economic Performance Vol. 7, no. 1 (Dec. 2022), pp.162-182.
https://search.emarefa.net/detail/BIM-1512389
American Medical Association (AMA)
Gbadebo, Abraham Oketooyin& Olatunji Oyedekoa, Yusuf. Effect of short selling on risk and return in Nigerian stock market. Algerian Journal of Economic Performance. 2022. Vol. 7, no. 1, pp.162-182.
https://search.emarefa.net/detail/BIM-1512389
Data Type
Journal Articles
Language
English
Notes
-
Record ID
BIM-1512389