In this study, we consider the issue of whether volatility shocks are persistent in the Nigerian stock market using 3179 daily market returns data for the period from 14th January 2003 to 31st December 2015. The study employs the GARCH-in-mean model of Engle, Lilien and Robins (1987) but assumes that the conditional errors follow student t distribution. The results confirm this assumption and suggest that despite that volatility shocks are almost explosive in the Nigerian stock market, investors are not adequately rewarded for taking additional risks. We therefore, conclude that the Nigerian stock market is still inefficient Download
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