Stock market returns and macroeconomic variables in nigeria: testing for dynamic linkages with a structural break

Ali, Umar Ahmad and Abdullah, Adam and Ahmad, Tijjani Abdullahi and Umar, Abdul Aziz Muhammad (2015) Stock market returns and macroeconomic variables in nigeria: testing for dynamic linkages with a structural break. Scholars Journal of Economics, Business and Management, 2 (8(A)). pp. 816-828. ISSN 2348-5302

PDF - Published Version Restricted to Repository staff only Download (741kB) | Request a copy

Abstract

The paper analysed the dynamic interactions between two macroeconomic variables and stock market returns in Nigeria from 1970-2013, using F-Bound Cointegration and Todayamamoto Causality tests that are robust to structural breaks. The result of Zivot Andrew unit root test indicated that all the variables were non stationary at level but stationary at first difference. The result of ARDL F-Bound Test to cointegration also indicated that cointegration exist among the variables. In the sense of Causality Test, there is a strong evidence of uni-directional causality from per capita income to stock market returns and from inflation to stock market returns.It is also indicated that gross domestic per capita income and inflation jointly caused the stock market returns. In the context of policy implications, this study suggests that government should formulate appropriate policy to encourage investment in financial markets which in resulting stimulate economic growth.

Item Type:	Article (Journal)
Additional Information:	7452/44682
Uncontrolled Keywords:	Stock Market Returns; Gross domestic per capita income; inflation; Zivot Andrew; F-bound Cointegration; Todayamamoto Causality
Subjects:	H Social Sciences > HB Economic Theory
Kulliyyahs/Centres/Divisions/Institutes (Can select more than one option. Press CONTROL button):	Institute of Islamic Banking & Finance (IIiBF)
Depositing User:	Dr Adam Abdullah
Date Deposited:	14 Sep 2015 09:30
Last Modified:	03 Apr 2019 11:28
URI:	http://irep.iium.edu.my/id/eprint/44682

Actions (login required)

View Item