Trading Volume, Intraday and Overnight Volatility of Stock Returns in the Nigerian Stock Exchange

We have investigated in this paper the information arrival process in the Nigerian Stock Exchange (NSE) by considering some highly priced and highly capitalized 28 stocks (companies) registered in the market. This work has not been found in the literature in the context of the Nigerian market, a gap this paper intends to bridge. By using the GARCH modelling approach with additional market information such as volume traded, intra-daily volatility, and overnight indicator, introduced as exogenous variables, we obtain similar results by previous authors, though trading volume does not predict the overall stock index of the market since it increased the overall volatility persistence. Our results therefore show the applicability of the Mixture of distribution Hypothesis (MDH) in the NSE market.