Downloads: 128 | Views: 300
Research Paper | Economics | Nigeria | Volume 4 Issue 4, April 2015 | Popularity: 6.4 / 10
Empirical Analysis of Exchange Rate Volatility and Nigeria Stock Market Performance
Muhammad Lawal, Victor UshahembaIjirshar
Abstract: Since 1993 Nigeria exchange rate started running beyond digit level as against United-state dollar amidst pursuance of growth of macroeconomic indicators. While available data show that growth in key macroeconomic indicators specifically exchange rate and inflation rate has impacted negatively on the growth of Nigerian stock market through GARCH process and ECM estimation techniques, interest rate was found to have impacted positively. This paper examined betweenexchange rate volatility and stock market performance using GeneralisedAutoregressive Conditional Heteroskedascity (1.1) (GARCH) model in establishing the relationship. A Vector Error Correction Model of stock market performance was estimated to examine the impact of exchange rate volatility. It was found from the available data spanning 1986 to 2013 that long run volatility in exchange rate has strong negative impact on the change in the performance of the Nigerian stock exchange markethaving proved the uni-directional relationship through pairwise granger causality test. The study recommends supporting fiscal policy and diversification to avoid subsequent external shocks because the main problem of Nigeria in the international market is its heavy dependence on oil and that manufacturing firms should produce quality goods that attract international patronage in order to have monetary and exchange rate control and remote causes should also be addressed like providing enabling business environment friendly atmosphere for domestic and foreign investors.
Keywords: Exchange rate, Market Capitalisation, Inflation rate and Interest rate
Edition: Volume 4 Issue 4, April 2015
Pages: 1592 - 1600
Make Sure to Disable the Pop-Up Blocker of Web Browser
Similar Articles
Downloads: 10 | Weekly Hits: ⮙1 | Monthly Hits: ⮙1
Masters Thesis, Economics, Kenya, Volume 12 Issue 6, June 2023
Pages: 615 - 623Impact of GDP and Exchange Rates on Foreign Direct Investment in East African Community
Wambua Mwalya, Njuru Stephen Gitahi
Downloads: 45
Research Paper, Economics, China, Volume 5 Issue 12, December 2016
Pages: 863 - 867An Empirical Analysis of a Settlement Currency in the Silk Road Economic Belt
Xiaobing Jiang, Ya'nan Li
Downloads: 111 | Weekly Hits: ⮙1 | Monthly Hits: ⮙1
Research Paper, Economics, Turkey, Volume 5 Issue 4, April 2016
Pages: 1888 - 1898Long and Short Term Relationship between Real Exchange Rate, Travel Revenues and Expenditure in Turkey during the Period of 2003:1-2016:1
Nazm CATALBAS
Downloads: 113
Research Paper, Economics, Indonesia, Volume 5 Issue 8, August 2016
Pages: 1090 - 1096Analysis the Influence of Internal Factor and External Factor on Yield Bonds Government in 2011-2014
Utami Yuliani, Bambang Juanda, Trias Andati
Downloads: 118
Research Paper, Economics, Sri Lanka, Volume 5 Issue 1, January 2016
Pages: 1750 - 1755Effects of Exchange Rate Volatility on Stock Market Return Volatility: Evidence from an Emerging Market
Perera H. A. P. K.