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Stock Market Volatility: Does Our Fundamentals Matter?

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  • Babajide Abiola Ayopo
  • Lawal Adedoyin Isola
  • Somoye Russel Olukayode

Abstract

This study used EGARCH estimation techniques to examine the impact of the systematic risk emanating from the macroeconomy on stock market volatility based on monthly data sourced from 1985 to 2013 on the Nigerian economy. Our results show that all the macroeconomic variables tested exerts on stock market pricing and that the stock market pricing is most influenced by exchange rate volatility. We thus recommend that policy makers on the one hand should pay close attention to the innovations in the macroeconomic variables when formulating macroeconomic or financial stability policy. On the other hand, market practitioners should calibrate volatility of macroeconomic variables in their portfolio decision making process.

Suggested Citation

  • Babajide Abiola Ayopo & Lawal Adedoyin Isola & Somoye Russel Olukayode, 2016. "Stock Market Volatility: Does Our Fundamentals Matter?," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 3, pages 33-42.
    • Handle: RePEc:bas:econst:y:2016:i:3:p:33-42
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    Cited by:

    1. Abiola Ayopo BABAJIDE & Funso Abiodun OKUNLOLA & Adedoyin Isola LAWAL & Victoria Bosede AKINJARE & Bukola Bose LAWAL-ADEDOYIN, 2021. "Financial Inclusion: Implication on Per Capita Income in Nigeria," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 11(8), pages 603-617, August.
    2. Adedoyin Isola Lawal & Abiola A. Babajide & Tony Ikechukwu Nwanji & Damilola Eluyela, 2018. "Are Oil Prices Mean Reverting? Evidence from Unit Root Tests with Sharp and Smooth Breaks," International Journal of Energy Economics and Policy, Econjournals, vol. 8(6), pages 292-298.
    3. Adedoyin Isola Lawal & Adeniyi Olayanju & Afeez Adebare Salisu & Abiola John Asaleye & Olatunde Dahunsi & Oluwasogo Dada & Oluwasola Emmanel Omoju & Olabisi Rasheedat Popoola, 2019. "Examining Rational Bubbles in Oil Prices: Evidence From Frequency Domain Estimates," International Journal of Energy Economics and Policy, Econjournals, vol. 9(2), pages 166-173.
    4. Adedoyin Isola LAWAL & Ezekiel OSENI & Abiola John ASALEYE & Bukola LAWAL-ADEDOYIN & Rachael OJEKA-JOHN, 2021. "Is the Stock Market Efficient? Evidence from Nonlinear Unit Root Tests for Nigeria," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 11(5), pages 384-395, May.

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    More about this item

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
    • F10 - International Economics - - Trade - - - General
    • F30 - International Economics - - International Finance - - - General

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