Modeling the Relationships Across Nigeria Inflation, Exchange Rate, and Stock Market Returns and Further Analysis

I. E. Okorie (), A. C. Akpanta (), J. Ohakwe (), D. C. Chikezie (), C. U. Onyemachi () and M. C. Ugwu ()
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I. E. Okorie: University of Manchester
A. C. Akpanta: Abia State University
J. Ohakwe: Federal University Otuoke
D. C. Chikezie: Abia State University
C. U. Onyemachi: Abia State University
M. C. Ugwu: University of Nigeria

Annals of Data Science, 2021, vol. 8, issue 2, No 7, 295-329

Abstract: Abstract For the first time, a more detailed statistical analysis of the dependence across Nigeria inflation, exchange rate, and stock market returns is provided by means of copulas. A positive relationship is found to exist between Nigeria inflation and the exchange rate of Nigeria Naira versus USD, a negligible positive relationship exists between Nigeria inflation and her stock market returns, and a weak positive relationship exists between the exchange rate of Nigeria Naira versus USD and her stock market returns. Eighteen months forecast for each of the time series and the value at risk estimates for the Nigeria stock market returns are given. The Nigeria stock market is confirmed to be weak form inefficient.

Keywords: Nigeria; Macroeconomic variables; Probability distributions; Archimedean copula; Elliptical copula; Forecast (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1007/s40745-019-00206-7

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