This paper examines the dynamic equilibrium relationship between a group of macroeconomic variables and the Nigerian Stock Exchange index, using Johansen’s (1991) vector error correction model. The macroeconomic variables investigated include the industrial production index, the consumer price index, money supply, oil prices and treasury bill rate. The estimation of the vector error correction model was done under two alternative definitions of money supply: M1 and M2. The results show that a cointegrating relation exists among macroeconomic variables. The cointegration relationship is consistent with earlier studies, unlike the signs of some of the variables, which are inconsistent with earlier studies.

(2007). The relationship between stock prices and macroeconomic factors in the Nigerian stock market [journal article - articolo]. In SAVINGS AND DEVELOPMENT. Retrieved from http://hdl.handle.net/10446/27400

The relationship between stock prices and macroeconomic factors in the Nigerian stock market

2007-01-01

Abstract

This paper examines the dynamic equilibrium relationship between a group of macroeconomic variables and the Nigerian Stock Exchange index, using Johansen’s (1991) vector error correction model. The macroeconomic variables investigated include the industrial production index, the consumer price index, money supply, oil prices and treasury bill rate. The estimation of the vector error correction model was done under two alternative definitions of money supply: M1 and M2. The results show that a cointegrating relation exists among macroeconomic variables. The cointegration relationship is consistent with earlier studies, unlike the signs of some of the variables, which are inconsistent with earlier studies.
articolo
2007
L’article examine la relation d’équilibre dynamique entre un groupe de variables macroéconomiques et l’index du marché boursier du Nigeria en utilisant le modèle vector error correction de Johansen (1991). Les variables utilisées comprennent l’index de production industrielle, l’index des prix à la consommation, l’offre de monnaie, les prix du pétrole et le taux sur les bons du trésor. L’estimation a été faite en considérant les deux définitions alternatives de l’offre de monnaie : M1 et M2. Les résultats montrent qu’il y a une relation cointegrée parmi les variables macroéconomiques qui est cohérente avec les études précédentes, tandis que les signes de certaines variables ne le sont pas.
Olowe, RUFUS AYODEJI
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10446/27400
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