MACROECONOMIC VARIABLES AND STOCK PRICE VOLATILITY IN NIGERIA
The purpose of this paper is to examine the relationship between stock price volatility and few macroeconomic variables such as inflation, exchange rate, GDP and interest rate. Annual time series data ranging from 1980 to 2011 was used for this study. The generalized autoregressive conditional heter...
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| Format: | Article |
| Language: | English |
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University of Petrosani
2014-10-01
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| Series: | Annals of the University of Petrosani: Economics |
| Subjects: | |
| Online Access: | http://www.upet.ro/annals/economics/pdf/2014/part1/Omorokunwa-Ikponmwosa.pdf |
| _version_ | 1818274585375670272 |
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| author | OSAZEE GODWIN OMOROKUNWA NOSAKHARE IKPONMWOSA |
| author_facet | OSAZEE GODWIN OMOROKUNWA NOSAKHARE IKPONMWOSA |
| author_sort | OSAZEE GODWIN OMOROKUNWA |
| collection | DOAJ |
| description | The purpose of this paper is to examine the relationship between stock price volatility and few macroeconomic variables such as inflation, exchange rate, GDP and interest rate. Annual time series data ranging from 1980 to 2011 was used for this study. The generalized autoregressive conditional heteroskedasticity (GARCH) model was used in the empirical analysis. The findings of the study showed that stock prices in Nigeria are volatile. And that past information in the market have effect on stock price volatility in Nigeria. In addition, the study showed that interest rate and exchange have a weak effect on stock price volatility while inflation is the main determinant of stock price volatility in Nigeria. The authors recommend that inflation should be targeted as the main monetary policy aimed at directing the stock market. |
| first_indexed | 2024-12-12T22:16:12Z |
| format | Article |
| id | doaj.art-c3db0e26dce64e67b6848a58f1470f4c |
| institution | Directory Open Access Journal |
| issn | 1582-5949 2247-8620 |
| language | English |
| last_indexed | 2024-12-12T22:16:12Z |
| publishDate | 2014-10-01 |
| publisher | University of Petrosani |
| record_format | Article |
| series | Annals of the University of Petrosani: Economics |
| spelling | doaj.art-c3db0e26dce64e67b6848a58f1470f4c2022-12-22T00:10:05ZengUniversity of PetrosaniAnnals of the University of Petrosani: Economics1582-59492247-86202014-10-01XIV1259268MACROECONOMIC VARIABLES AND STOCK PRICE VOLATILITY IN NIGERIAOSAZEE GODWIN OMOROKUNWA0NOSAKHARE IKPONMWOSA1University of Benin, NigeriaUniversity of Benin, NigeriaThe purpose of this paper is to examine the relationship between stock price volatility and few macroeconomic variables such as inflation, exchange rate, GDP and interest rate. Annual time series data ranging from 1980 to 2011 was used for this study. The generalized autoregressive conditional heteroskedasticity (GARCH) model was used in the empirical analysis. The findings of the study showed that stock prices in Nigeria are volatile. And that past information in the market have effect on stock price volatility in Nigeria. In addition, the study showed that interest rate and exchange have a weak effect on stock price volatility while inflation is the main determinant of stock price volatility in Nigeria. The authors recommend that inflation should be targeted as the main monetary policy aimed at directing the stock market.http://www.upet.ro/annals/economics/pdf/2014/part1/Omorokunwa-Ikponmwosa.pdfGARCH modelvolatilityinflationstock pricestock marketNigeria |
| spellingShingle | OSAZEE GODWIN OMOROKUNWA NOSAKHARE IKPONMWOSA MACROECONOMIC VARIABLES AND STOCK PRICE VOLATILITY IN NIGERIA Annals of the University of Petrosani: Economics GARCH model volatility inflation stock price stock market Nigeria |
| title | MACROECONOMIC VARIABLES AND STOCK PRICE VOLATILITY IN NIGERIA |
| title_full | MACROECONOMIC VARIABLES AND STOCK PRICE VOLATILITY IN NIGERIA |
| title_fullStr | MACROECONOMIC VARIABLES AND STOCK PRICE VOLATILITY IN NIGERIA |
| title_full_unstemmed | MACROECONOMIC VARIABLES AND STOCK PRICE VOLATILITY IN NIGERIA |
| title_short | MACROECONOMIC VARIABLES AND STOCK PRICE VOLATILITY IN NIGERIA |
| title_sort | macroeconomic variables and stock price volatility in nigeria |
| topic | GARCH model volatility inflation stock price stock market Nigeria |
| url | http://www.upet.ro/annals/economics/pdf/2014/part1/Omorokunwa-Ikponmwosa.pdf |
| work_keys_str_mv | AT osazeegodwinomorokunwa macroeconomicvariablesandstockpricevolatilityinnigeria AT nosakhareikponmwosa macroeconomicvariablesandstockpricevolatilityinnigeria |