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On the Reaction of Stock Market to Monetary Policy Innovations: New Evidence from Nigeria

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  • Abdul-Nasir T. Yola

Abstract

The paper analysed the asymmetric effect of monetary policy to stock market in Nigeria. The study is conducted by using an EGARCH(X) model. The exogenous variable is a dummy variable which account for the monetary policy committee meetings of the central bank of Nigeria. All the parameters of the estimated model are statistically significant. The significance of the dummy variable in the mean and variance equation, couple with the significance of the asymmetric parameter provides empirical evidence that investors react to monetary policy innovation in Nigeria. The paper recommends for sound monetary policy that will develop and stabilize the stock market.

Suggested Citation

  • Abdul-Nasir T. Yola, 2019. "On the Reaction of Stock Market to Monetary Policy Innovations: New Evidence from Nigeria," Academic Journal of Economic Studies, Faculty of Finance, Banking and Accountancy Bucharest,"Dimitrie Cantemir" Christian University Bucharest, vol. 5(2), pages 94-98, June.
    • Handle: RePEc:khe:scajes:v:5:y:2019:i:2:p:94-98
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    More about this item

    Keywords

    Monetary policy; Stock market; Aymmetric; EGARCH;
    All these keywords.

    JEL classification:

    • H54 - Public Economics - - National Government Expenditures and Related Policies - - - Infrastructures
    • R53 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Regional Government Analysis - - - Public Facility Location Analysis; Public Investment and Capital Stock

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