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Impact of global financial crisis on the complexity of emerging markets: Case study of the Nigerian Stock Exchange

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Abstract

The dynamical complexities of the Nigerian stock market have been largely uninvestigated. In this study, we analysed the return price of financial stocks on Nigerian Stock Exchange for chaotic behaviour. Our analysis was conducted for the period 2000–2015, as well as for three distinct periods covering the pre-crisis, crisis and post-crisis period of 2008. Fractal anlaysis (detrended fluctuation analysis and rescale range), entropy (Kolmogorov and permutation), recurrence quantification analysis (determinism and longest diagonal line) and Lyapunov exponent (Rosenstein and Eckmann) methods were used in the investigation. Results showed that the return prices of six financial stocks exhibit behaviour associated with random noise and chaos. The stocks were found to be more efficient post-crisis than during the pre-crisis period. Return prices post-crisis were found to be more chaotic.

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Authors and Affiliations

  1. Department of Physics, Federal University of Technology, Akure, Ondo State, Nigeria

    S T Ogunjo, I A Fuwape & M O Temiye

  2. Michael and Cecilia Ibru University, Ughelli North, Delta State, Nigeria

    I A Fuwape

Authors
  1. S T Ogunjo
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  2. I A Fuwape
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  3. M O Temiye
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Correspondence to S T Ogunjo.

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Ogunjo, S.T., Fuwape, I.A. & Temiye, M.O. Impact of global financial crisis on the complexity of emerging markets: Case study of the Nigerian Stock Exchange. Pramana - J Phys 95, 206 (2021). https://doi.org/10.1007/s12043-021-02245-3

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  • DOI: https://doi.org/10.1007/s12043-021-02245-3

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