Stock Market Volatility: Does Our Fundamentals Matter?

Babajide Abiola Ayopo, Adedoyin Lawal () and Somoye Russel Olukayode

Economic Studies journal, 2016, issue 3, 33-42

Abstract: This study used EGARCH estimation techniques to examine the impact of the systematic risk emanating from the macroeconomy on stock market volatility based on monthly data sourced from 1985 to 2013 on the Nigerian economy. Our results show that all the macroeconomic variables tested exerts on stock market pricing and that the stock market pricing is most influenced by exchange rate volatility. We thus recommend that policy makers on the one hand should pay close attention to the innovations in the macroeconomic variables when formulating macroeconomic or financial stability policy. On the other hand, market practitioners should calibrate volatility of macroeconomic variables in their portfolio decision making process.

JEL-codes: E43 E58 F10 F30 F41 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:bas:econst:y:2016:i:3:p:33-42

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