This study investigates the influence of corporate governance mechanisms on stock market volatility among 148 firms listed on the Nigerian Exchange Group (NGX) over the period 2011 to 2025, yielding an unbalanced panel dataset of 2,072 firm-year observations. Drawing on agency theory, signalling theory, and resource dependence theory, this study examines the roles of board independence, CEO duality, board gender diversity, and audit committee independence as primary governance predictors, while controlling for firm size, leverage, liquidity, profitability, asset tangibility, firm age, sales growth, asset turnover, board size, audit quality, ownership concentration, industry classification, GDP growth rate, political connection, and foreign exchange exposure. Employing a two-step system Generalised Method of Moments (GMM) estimator to address endogeneity, heteroskedasticity, and serial correlation, the findings reveal that board independence, gender diversity, and audit committee independence each exert statistically significant negative effects on stock return volatility, while CEO duality, leverage, ownership concentration, political connection, and foreign exchange exposure amplify volatility. Notably, audit quality — proxied by Big-4 auditor engagement — and macroeconomic growth are negatively associated with volatility. The study contributes novel empirical evidence from an emerging African market context, offering important insights for regulators, institutional investors, corporate boards, and policymakers committed to deepening capital market stability in Nigeria and analogous frontier markets.
Onipe Yahaya (2026) studied this question.