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Structural Analysis of the Effect of Exchange Rate Movement on Stock Market Performance in Nigeria


  • Benjamin, Oluwasegun Olawale
  • Fatile, John Ojo


This paper investigates the impact and causal relationship between exchange rate movement and stock market performance in Nigeria using monthly data spanning from February 2001 to December 2017. Estimated models include pre-crisis, crisis, post-crisis, and the primary model. Johanson co-integration, IGARCH (1,1) and Pairwise Granger causality techniques were used for the analysis. The result of the co-integration test suggested the absence of a long-run relationship among the variables. The estimated IGARCH (1,1) model revealed that the exchange rate and money supply have positive impact on stock market performance. Furthermore, the paper established evidence of a one-way causality from exchange rate to stock market performance in the primary and pre-crisis models and no causality during the crisis and post-crisis periods. Thus, we recommend that the monetary authority should pay close attention to exchange rate movement, address the problem of market manipulations, and employ robust measures to protect the stock market from possible future crisis.

Suggested Citation

  • Benjamin, Oluwasegun Olawale & Fatile, John Ojo, 2019. "Structural Analysis of the Effect of Exchange Rate Movement on Stock Market Performance in Nigeria," MPRA Paper 98329, University Library of Munich, Germany, revised 19 Nov 2019.
  • Handle: RePEc:pra:mprapa:98329

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    More about this item


    Exchange rate; stock market performance; financial crisis; IGARCH model.;

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation


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