A MULTIVARIATE ANALYSIS OF STOCK PRICE MOVEMENTS AND VOLATILITY PATTERNS IN SELECTED NIGERIAN BANKS

Abstract

The banking sector plays a critical role in Nigeria’s financial system, and fluctuations in bank stock prices have significant implications for investors, regulators, and policymakers. This study examines the stock price movements and volatility patterns of selected Nigerian banks over the period 2014–2024. The banks studied are Fidelity Bank Plc, Stanbic IBTC Holdings Plc, United Bank for Africa (UBA) Plc, Wema Bank Plc, Zenith Bank Plc, and First City Monument Bank (FCMB) Plc. The objectives are to examine stock price behaviour and daily returns, identify volatility patterns, and assess the influence of short-term shocks and long-term trends on stock performance. A quantitative time-series research design was adopted using secondary data obtained from the Nigerian Exchange Group (NGX). Daily stock price data were analyzed using descriptive statistics, logarithmic return analysis, volatility measures, and the Discrete Wavelet Transform (DWT). DWT separated stock price movements into high-frequency and low-frequency components, enabling the analysis of both short-term market fluctuations and long-term trends. The results show that stock prices remained relatively stable between 2014 and 2019 but experienced heightened volatility during the pandemic. A strong recovery was observed from 2022 onward, particularly among Zenith Bank, UBA, and Fidelity Bank. The return series exhibited volatility clustering and occasional extreme price movements. Wavelet decomposition revealed that short-term shocks dominated during periods of market uncertainty, while long-term components reflected sustained growth and recovery trends. The study concludes that stock price behaviour in the Nigerian banking sector is influenced by both temporary market shocks and underlying structural factors.