Stock Market Response to Economic Growth and Interest Rate Volatility: Evidence from Nigeria

Babajide Abiola Ayopo, Adedoyin Lawal () and Somoye Russel Olukayode
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Babajide Abiola Ayopo: Department of Banking and Finance, Covenant University, Ota, Ogun-state. Nigeria
Somoye Russel Olukayode: Department of Accounting, Banking and finance, Olabisi Onabanjo University, Ago Iwoye, Nigeria.

International Journal of Economics and Financial Issues, 2016, vol. 6, issue 1, 354-360

Abstract: This study examined the relationship between macroeconomic variable volatility and stock market return within the context of Blanchard (1981) extension of the Hicks (1937) IS-LM hypothesis, using exponential general autoregressive conditional heteroskedascity estimation techniques to analysis monthly data sourced on the Nigerian economy from January 1985 to December 2013. Our result shows that stock prices responds significantly to innovations in the interest rate and the real gross domestic product (RGDP), we therefore recommends that policy makers on the one hand should consider volatility in both the interest rate and the RGDP when making policies aimed at enhancing stock market development. On the other hand, market practitioners are expected to make provisions for volatility in interest rate and the RGDP when making portfolio decisions.

Keywords: Interest Rate; Real Gross Domestic Product; All Share Price; Volatility; Exponential General Autoregressive Conditional Heteroskedascity (search for similar items in EconPapers)
JEL-codes: C22 G01 G14 G15 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (12)

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Persistent link: https://EconPapers.repec.org/RePEc:eco:journ1:2016-01-45

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