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Impact of Long-Run Exchange Rate Volatility on Stock Market Performance in Nigeria

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  • Chigbu Emmanuel Ezeji

Abstract

This study looks at the long-run effects of exchange rate on stock market performance in Nigeria between 1988 and 2012 using cointegration tests. A bi-variate model was specified and empirical results show a significant positive stock market performance to exchange rate on the short-run and a significant negative stock market performance to exchange rate on the long-run. The granger causality test shows a strong evidence that the causation runs from exchange rate to stock market performance, implying that variations in the Nigerian stock market is explained by exchange rate volatility.

Suggested Citation

  • Chigbu Emmanuel Ezeji, 2014. "Impact of Long-Run Exchange Rate Volatility on Stock Market Performance in Nigeria," International Journal of Management Sciences, Research Academy of Social Sciences, vol. 2(2), pages 70-77.
    • Handle: RePEc:rss:jnljms:v2i2p2
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