IDEAS home Printed from https://ideas.repec.org/a/icf/icfjfe/v07y2009i3&4p7-23.html
   My bibliography  Save this article

Stock Prices and Exchange Rate Interactions in Nigeria: A Maiden Intra-Global Financial Crisis Investigation

Author

Listed:
  • Shehu Usman Rano Aliyu

Abstract

This paper examines the long and short-run interactions between stock prices and exchange rates in Nigeria, based on a sample, from February 1, 2001 to December 31, 2008. Three models were derived from the sample—the pre-crisis, crisis and basic models. The paper tests the time series properties of the series using the Augmented Dickey Fuller (ADF) and the Philips and Perron (PP) tests. In addition, the Engle and Granger two-step and the Johansen and Juselius cointegration procedures are also applied. The empirical results show that all the series are I(1) and evidence of cointegration is established using the Johansen and Juselius methodology. Furthermore, causality tests reveal strong evidence of long-run bidirectional relationships between stock prices and exchange rates in the models. Policy-wise, the findings imply that the monetary authorities in Nigeria are not constrained to take stock market developments into account in achieving their exchange rate policy objectives, as established in the paper. It, therefore, recommends putting measures in place that would promote greater stability and efficiency of Nigeria’s foreign exchange market.

Suggested Citation

  • Shehu Usman Rano Aliyu, 2009. "Stock Prices and Exchange Rate Interactions in Nigeria: A Maiden Intra-Global Financial Crisis Investigation," The IUP Journal of Financial Economics, IUP Publications, vol. 0(3 & 4), pages 7-23, September.
    • Handle: RePEc:icf:icfjfe:v:07:y:2009:i:3&4:p:7-23
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Aliyu, Shehu Usman Rano, 2020. "What have we learnt from modelling stock returns in Nigeria: Higgledy-piggledy?," MPRA Paper 110382, University Library of Munich, Germany, revised 06 Jun 2021.
    2. Effiong, Ekpeno L., 2016. "Nonlinear Dependence between Stock Prices and Exchange Rate in Nigeria," MPRA Paper 74336, University Library of Munich, Germany.
    3. Ahmed S. Alimi & Oladotun D. Olaniran, 2019. "Monetary Policy and the Stock Price - Exchange Rate Nexus: New Insights from Influential African Economies," Asian Development Policy Review, Asian Economic and Social Society, vol. 7(2), pages 66-79, June.
    4. Agya Atabani Adi, 2017. "Returns Effect, Shocks and Volatility Transmission between Foreign Exchange-Stock Markets in Nigeria," Academic Journal of Economic Studies, Faculty of Finance, Banking and Accountancy Bucharest,"Dimitrie Cantemir" Christian University Bucharest, vol. 3(1), pages 29-38, March.
    5. Charles O. Manasseh & Nnah M. Iroha & Kingsley I. Okere & Ifeoma C. Nwakoby & Ogochukwu C. Okanya & Nnenna Nwonye & Onuselogu Odidi & Oliver I. Inyiama, 2022. "Application of Markov chain to share price movement in Nigeria (1985–2019)," Future Business Journal, Springer, vol. 8(1), pages 1-14, December.
    6. Shehu U.R. Aliyu, 2019. "Do Presidential Elections Affect Stock Market Returns In Nigeria?," West African Journal of Monetary and Economic Integration, West African Monetary Institute, vol. 19(1), pages 40-56, June.
    7. Maryatmo, Rogatianus, 2010. "Pengaruh Jangka Pendek dan Jangka Panjang Perubahan Suku Bunga dan Kurs Rupiah Terhadap Harga Saham : Studi Empiris di Indonesia (2000:1 – 2010:4)," MPRA Paper 25532, University Library of Munich, Germany.
    8. Aliyu, Shehu Usman Rano, 2011. "Reactions of stock market to monetary policy shocks during the global financial crisis: the Nigerian case," MPRA Paper 35581, University Library of Munich, Germany, revised 28 Dec 2011.
    9. Benjamin, Oluwasegun Olawale & Fatile, John Ojo, 2019. "Structural Analysis of the Effect of Exchange Rate Movement on Stock Market Performance in Nigeria," MPRA Paper 98329, University Library of Munich, Germany, revised 19 Nov 2019.
    10. Musa Ilias Biala & A.K. Oladejo, 2022. "On the Nexus between Exchange Rate and Stock Price in Nigeria," International Journal of Finance, Insurance and Risk Management, International Journal of Finance, Insurance and Risk Management, vol. 12(1), pages 80-99.
    11. Tri Nguyen & Quang Bui & Tan Nguyen, 2016. "Causal Correlation between Exchange Rate and Stock Index: Evidence from VN-Index," Asian Social Science, Canadian Center of Science and Education, vol. 12(8), pages 1-43, August.
    12. Steven Liew Woon Choy & Jayaraman Munusamy & Shankar Chelliah & Ally Mandari, 2011. "Effects of Financial Distress Condition on the Company Performance: A Malaysian Perspective," Review of Economics & Finance, Better Advances Press, Canada, vol. 1, pages 85-99, August.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:icf:icfjfe:v:07:y:2009:i:3&4:p:7-23. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: G R K Murty (email available below). General contact details of provider: .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.