Economics Project Topics & Materials

IMPACT OF MACROECONOMIC VARIABLES ON STOCK RETURNS IN NIGERIA

IMPACT OF MACROECONOMIC VARIABLES ON STOCK RETURNS IN NIGERIA

ABSTRACT

 
The study examined the impact of Macroeconomic variables on Stock returns in the Nigerian capital market. The study used time series data spanning a period from 2000 to 2012 and the domestic variables employed were Money supply, Exchange rate, Nigeria treasury bills rate, inflation rate, and US Stock price as a proxy for international influence on stock returns in Nigeria. The Augmented Dickey-Fuller and Philip-Perron tests were used to determine the stochastic properties of the series. Within the theoretical framework of the Arbitrage Pricing Theory, a stationary VAR model was estimated and used to analyze the short run impact of selected macroeconomic variables using data for the period. The results show that there was marginal influence of the domestic variables. Changes in the US Stock prices have a positive and quantitatively larger effect on stock returns. In addition, the effect of changes in the exchange rate contributes a high of 5.6 percent change in stock return which is larger than that of all the other domestic variables. This implies that the Nigerian stock market is prone to the well-known contagion effect of global financial market. The study recommends that monetary authorities should be careful with the current efforts at internationalisation of the Nigerian Stock Market

Related Post

Share
Published by

Recent Posts

Implementation of an Academic Research Paper Plagiarism Checker System

ABSTRACT The problem of plagiarism in Africa generally is growing at an alarming rate, especially… Read More

3 years ago

How to Write a Conclusion for your Final Year Project

In order to successfully complete a project for your senior year, you will need to… Read More

3 years ago

Google scholar project topics

List of Google scholar project topics Google Scholar is a convenient tool that enables users… Read More

3 years ago

How To Recover Your Money From COTP

If you lost money in a COTPS Ponzi scheme, you should talk to a lawyer… Read More

3 years ago

The Growth And Popularity Of Naira Marley Songs Among Students

EXECUTIVE SUMMARY This synopsis is on the Growth and popularity of Naire Marley songs amongst… Read More

3 years ago