Volatility and Nigeria Stock Market Performance: Evidence from Naira-Dollar Exchange Rate and Market Capitalization

Journal of Mathematics and Statistics Studies

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Field Value
 
Title Volatility and Nigeria Stock Market Performance: Evidence from Naira-Dollar Exchange Rate and Market Capitalization
 
Creator Ajibode, I.A
Busari, I.A
 
Subject Cointegration, Volatility, ECM, GARCH, Stock market
 
Description This study investigates volatility and Nigeria stock market performance as evidenced from exchange rate and market capitalization using annual data spanning between 1986 to 2019 as extracted from the Central Bank of Nigeria (CBN) annual statistical bulletin. Johansen and Jesulius cointegration, Error Correction modeling and Generalized Autoregressive Conditional Heteroscedasticity (GARCH) estimation technique was adopted.  The GARCH result showed that, exchange rate and market capitalization constitute significant sources of volatility to stock prices in both the short-run and long-run, with coefficients: 103.4074 and 0.15649 of variations in NSE-All Share Index respectively. In addition, coefficient of 〖ECT〗_(t-1) (-0.049851) of error correction estimate indicated that previous years deviation from long run equilibrium is corrected at a speed of 5% implying that, there exists a long-run co-integration or equilibrium relationship among the variables. This paper therefore, recommended that consistent application of Dutch Auction System can be embarked upon by Central Bank of Nigeria (CBN) to serve the purposes of reducing the parallel market premium, thereby conserving the dwindling external reserves to achieve a realistic exchange rate for the naira. NSE should also create enabling market policy for companies traded on the stock market so as to improve the performance of stock prices through market capitalization.
 
Publisher Al-Kindi Center for Research and Development.
 
Date 2020-12-30
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/pdf
 
Identifier https://al-kindipublisher.com/index.php/jmss/article/view/972
 
Source Journal of Mathematics and Statistics Studies; Vol. 1 No. 2 (2020): Journal of Mathematics and Statistics Studies; 38-45
 
Language eng
 
Relation https://al-kindipublisher.com/index.php/jmss/article/view/972/803
 
Rights Copyright (c) 2020 https://creativecommons.org/licenses/by-nc-nd/4.0/
 

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