Stock Market Response to Economic Growth and Interest Rate Volatility: Evidence from Nigeria

Ayopo, Babajide Abiola and Lawal, A. I. and Somoye, Russel Olukayode (2016) Stock Market Response to Economic Growth and Interest Rate Volatility: Evidence from Nigeria. International Journal of Economics and Financial Issues, 6 (1). pp. 354-360. ISSN 2146-4138

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Abstract

This study examined the relationship between macroeconomic variable volatility and stock market return within the context of Blanchard (1981) extension of the Hicks (1937) IS-LM hypothesis, using exponential general autoregressive conditional heteroskedascity estimation techniques to analysis monthly data sourced on the Nigerian economy from January 1985 to December 2013. Our result shows that stock prices responds significantly to innovations in the interest rate and the real gross domestic product (RGDP), we therefore recommends that policy makers on the one hand should consider volatility in both the interest rate and the RGDP when making policies aimed at enhancing stock market development. On the other hand, market practitioners are expected to make provisions for volatility in interest rate and the RGDP when making portfolio decisions.

Item Type:	Article
Subjects:	H Social Sciences > HG Finance
Depositing User:	Mr DIGITAL CONTENT CREATOR LMU
Date Deposited:	15 Feb 2019 15:33
Last Modified:	15 Feb 2019 15:33
URI:	https://eprints.lmu.edu.ng/id/eprint/1979

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