Determinants of stock market performance in Nigeria: long-run analysis
AbstractThis study examines critically the long-run macroeconomic determinants of stock market performance in Nigeria between 1984 and 2007. The properties of the time series variables are examined using the Augmented Dickey-Fuller (ADF) unit root test and most of the incorporated variables in the study was found to have a unit root at level. The Augmented Engle-Granger Cointegration test result revealed that the stock market performance in Nigeria is mainly determined by macroeconomic forces in the long-run. However, the empirical analysis showed that the NSE all share index is more responsive to changes in exchange rate, inflation rate, money supply, and real output. While, the entire incorporated macroeconomic variables were found to have simultaneous and significant impact on the Nigerian capital market performance in the long-run. The study recommended that investors should pay close attention to exchange rate, inflation, money supply, and economic growth rather than treasury bill rate in the long-run in their investment decision.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 35838.
Date of creation: 2010
Date of revision:
Publication status: Published in Journal of Management and Organizational Behaviour 3.1(2010): pp. 1-16
Macroeconomic Variables; Stock Market Performance; Long-run; Unit root and Cointegration;
Find related papers by JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- E2 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment
- G19 - Financial Economics - - General Financial Markets - - - Other
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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