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Exchange Rate Movements on Sectoral Stock Prices of Nigerian Firms: Is there Evidence of Asymmetry?

Author

Listed:
  • Lateef O. Akanni

    () (Department of Economics, University of Lagos,Akoka, Lagos, Nigeria)

  • Kazeem Isah

    () (Centre for Econometric and Allied Research, University of Ibadan)

Abstract

Using firm-level weekly closing stock prices of Nigerian firms, this study gives a new insight into the possible asymmetry in exchange rate and stock prices relationship. The Linear ARDL (Pesaran et al., 2001) and Non-Linear ARDL (Shin et al., 2014) framework are adapted into panel data form to explore the responses of stock prices to exchange rate movements. Exchange rate is measured using Naira exchange value to US Dollar for the main analysis while Naira to Britain Pound Sterling is used for robustness check. Findings from the empirical analyses suggest that the relationship between exchange rate and stock prices is largely symmetry for most of the firms, except those in few sectors like conglomerates, consumer goods and financial services. Thus, this result supports empirical arguments that exposure of stock prices of firms in developing countries to exchange rate is identical in the long-run regardless of whether the domestic currency appreciates or depreciates.

Suggested Citation

  • Lateef O. Akanni & Kazeem Isah, 2018. "Exchange Rate Movements on Sectoral Stock Prices of Nigerian Firms: Is there Evidence of Asymmetry?," Working Papers 046, Centre for Econometric and Allied Research, University of Ibadan.
    • Handle: RePEc:cui:wpaper:0046
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    References listed on IDEAS

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    Cited by:

    1. Muhammed Benli & Sedat Durmuskaya & Gokberk Bayramoglu, 2019. "Asymmetric exchange rate pass-through and sectoral stock price indices: Evidence from Turkey," International Journal of Business and Management, International Institute of Social and Economic Sciences, vol. 7(1), pages 25-47, May.
    2. Omer Ahmed Sayed Mohamed & Faiza Omer Mohammed Elmahgop, 2020. "Is the Effect of the Exchange Rate on Stock Prices Symmetric or Asymmetric? Evidence from Sudan," International Journal of Economics and Financial Issues, Econjournals, vol. 10(2), pages 209-215.

    More about this item

    Keywords

    Exchange rate; Stock prices; Asymmetry; Panel ARDL; Non-linear ARDL;

    JEL classification:

    • F10 - International Economics - - Trade - - - General
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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