Crude Oil Price Volatility and its Impact on Nigerian Stock Market Performance (1985-2014)

Olamide T. Ojikutu, Rita U. Onolemhemhen and Sunday O. Isehunwa
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Olamide T. Ojikutu: University of Ibadan, Nigeria,
Rita U. Onolemhemhen: University of Lagos, Nigeria,
Sunday O. Isehunwa: University of Ibadan, Nigeria.

International Journal of Energy Economics and Policy, 2017, vol. 7, issue 5, 302-311

Abstract: The impact of falling oil prices on stock market and exchange rates (EXRs) differs from country to country, either oil-exporting or oil-importing country. Empirically, previous studies have measured the impact of crude oil price (COP) volatility on stock market performance. However, limited studies exist for Nigeria and other oil exporting countries. Thus, this study seeks to fill the gap in existing literature by establishing the nexus between oil price, EXR and stock market performance in Nigeria. Using the ordinary least square estimation technique, the basic variables adopted in this study are all share index (ASI) which serves as a proxy for market performance, COP and EXR. Annual time series data covering the period of 1985-2014 was used to estimate the model using regression analysis. Based on the Trace statistics result, there exists one co-integrating relationship among ASI, COP, and EXR. The R2 = 0.505; showing that 50.5% of the variation in stock market performance can be explained by COPs and EXR. The F-statistic value of 2.17 (P

Keywords: Oil price; exchange rates; volatility; stock market (search for similar items in EconPapers)
JEL-codes: E3 F31 Q4 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (8)

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