EFFECT OF SELECTED MACROECONOMIC FACTORS ON STOCK MARKET CAPITALIZATION IN NIGERIA: A NON-LINEAR APPROACH

Files

ARTICLE 11(2021)March.pdf (2.01 MB)

Date

2021-03-15

Authors

Journal Title

Journal ISSN

Volume Title

Publisher

Department of Banking and Finance, Faculty Of Administration Nasarawa State University, Keffi.

Abstract

This paper investigated the interaction between selected macroeconomic factors (exchange rate, money supply and trade openness) and stock market capitalization using the non-linear autoregressive distributed lag (NARDL) model and the Error Correction Model (ECM) for the period 2000 to 2019. The secondary data used were extracted from CBN statistical bulletin 2019 and Nigeria bureau of statistics reports. The findings revealed that only exchange rate and money supply had a long-run effect on market capitalization. The findings also revealed that at 10% significance level all the factors asymmetrically affected market capitalization in Nigeria. It is recommended that the asymmetric relationship between macroeconomic factors and stock market capitalization should be taken into consideration while making investment or policy decisions in Nigeria.

Description

Keywords

Exchange rate, Money supply, Trade openness, Market capitalization, NARDL

Citation

Onyeisi, O. S., Odo, I. S., & Anoke, C. I. (2016). Foreign portfolio investment and stock market growth in Nigeria. Developing Country Studies, 6(11), 64-76 Palley, T. I., (2009). America's exhausted paradigm: Macroeconomic causes of the financial crisis and great recession. IPE Working Papers 02/2009, Berlin School of Economics and Law, Institute for International Political Economy. Paul, M., & Asarebea, F.A. (2013). Validity of the capital assets pricing model: Evidence from the Indian companies - The NSE India. SSRN Electronic Journal, http://dx.doi.org/!0.2139/ssm.2324767 Read (2013). The efficient market hypothesis. Palgrave Macmillan Rusydi, M., & Islam, S. M. N. (2007). Quantitative exchange rate economics in developing countries: A new pragmatic decision-making approach. Palgrave Macmillan Samuel, U. E.,Udoh, B. E., Prince, A. I., Ifeanyi, O. J., &Ndu, O. M. (2019). Money supply and inflation rate in Nigeria: The missing link. Humanities and Social Sciences Letters, 7(2), 156-166.

URI

https://keffi.nsuk.edu.ng/handle/20.500.14448/955

Collections

Articles