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The Effect of Macroeconomic Variables on Stock Return Volatility in the Nigerian Stock Exchange Market

Author

Listed:
  • Henry Pole

    (Department of Banking and Finance, Near East University, Boulevard, 99138 Nicosia, North Cyprus, Mersin 10, Turkey.)

  • Behiye Cavusoglu

    (Department of Innovation and Knowledge Management, Near East University, Boulevard, 99138 Nicosia, North Cyprus, Mersin 10, Turkey.)

Abstract

The link concerning stock return volatility and macroeconomic indicators have been an arguable phenomenon all time long. It has also been one of the major issues to domestic and foreign investors in building an efficient and optimum stock portfolio in the stock market. However, the volatility of macroeconomic indicators adversely affects the level of stock return in the Nigerian stock market. However, the study investigates the effect of macroeconomic factors on stock return in the Nigerian stock market. The study employed secondary data obtained from Nigerian Stock Exchange (NSE) fact book and Central Bank of Nigeria (CBN) statistical bulletin within the period of 1998 and 2019. The monthly data obtained were subjected to the Autoregressive Distributed Lag (ARDL) method of analysis. Findings revealed that money supply and aggregate industrial production positively and significantly affect stock return (β=0.466098, P

Suggested Citation

  • Henry Pole & Behiye Cavusoglu, 2021. "The Effect of Macroeconomic Variables on Stock Return Volatility in the Nigerian Stock Exchange Market," Post-Print hal-05188086, HAL.
    • Handle: RePEc:hal:journl:hal-05188086
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