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.File | Dimensione del file | Formato | |
---|---|---|---|
OLOWE suppl. 2007.pdf
accesso aperto
Versione:
publisher's version - versione editoriale
Licenza:
Licenza default Aisberg
Dimensione del file
279.73 kB
Formato
Adobe PDF
|
279.73 kB | Adobe PDF | Visualizza/Apri |
Pubblicazioni consigliate
Aisberg ©2008 Servizi bibliotecari, Università degli studi di Bergamo | Terms of use/Condizioni di utilizzo