Dynamic links between the Nigerian equity market and those of selected regional and developed countries

Obadiaru, E.D. and Obasaju, B.O. and OMANKHANLEN, Alex Ehimare and Eyiolorunshe, D.T. (2020) Dynamic links between the Nigerian equity market and those of selected regional and developed countries. Heliyon, 6.

Text (PDF) DYNAMIC LINKS HLY.pdf - Published Version Download (903kB)

Abstract

The dynamic and growing interdependent nature of equity markets across the world has elicited the interest of investors and researchers alike. This study examines the dynamic interactions between the Nigerian stock market and selected regional and global equity markets spanning eight years, from 2011 to 2018, using daily index data. The generalised impulse response function was used alongside the Toda and Yamamoto Granger causality test to investigate the short-run dynamic linkages, while the normalized Johansen vector error correction estimates served to assess the long-run linkages given the existence of cointegration. Findings from the study revealed that the UK and the Ghanaian stock markets exert significant long-run impact on the Nigerian stock market, while vagaries from the US tend to exert more influence on the Nigerian stock market in the short-run. The study recommends that more regional efforts are needed to enhance the integration of stock markets in West Africa. The findings have implications for national and regional policymakers as well as portfolio investors.

Item Type:	Article
Uncontrolled Keywords:	Economics Stock markets Dynamic linkages Vector error correction West Africa Cointegration with breakpoints
Subjects:	H Social Sciences > HG Finance
Divisions:	Faculty of Law, Arts and Social Sciences > School of Management
Depositing User:	MR ESEOSA OBADIARU
Date Deposited:	05 Jul 2021 09:05
Last Modified:	05 Jul 2021 09:05
URI:	https://eprints.lmu.edu.ng/id/eprint/3193

Actions (login required)

View Item