Does Oil Price Fluctuation Affect Stock Market Returns in Nigeria?

Kenneth Chikezie Anyalechi, Hillary Chijindu Ezeaku, Josaphat. U. J. Onwumere and E. J. Okereke
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Kenneth Chikezie Anyalechi: Retail Businesses, First Bank of Nigeria Ltd., Nigeria
Hillary Chijindu Ezeaku: Department of Banking and Finance, Caritas University, Enugu, Nigeria,
Josaphat. U. J. Onwumere: Department of Banking and Finance, University of Nigeria Enugu Campus, Enugu, Nigeria,
E. J. Okereke: Department of Banking and Finance, University of Port Harcourt, Choba, Rivers State, Nigeria

International Journal of Energy Economics and Policy, 2019, vol. 9, issue 1, 194-199

Abstract: This paper examined the responsiveness of the stock market returns to fluctuation in oil price in Nigeria using monthly dataset from January 1994 to December 2016. The autoregressive distributed lag estimation technique was applied to analyze the long-run model as well as the short-run dynamics whereas test for cointegarating relationships was conducted using the Bound testing method. The findings revealed that changes in oil price have had positive but insignificant impact on stock market returns both in the long-run and the short-run. Impact of inflation was positive and insignificant in the long-run but positively significant in the short-run. Real interest rate and log of exchange rate exerted negative influence on the stock market returns, where the short-run effect of real interest rate was significant, the long-run impact was found to be insignificant. The error term indicates that deviation from long-run equilibrium is corrected at the speed of 8.2% on annual basis. The Bound test result showed that no long-run relationships exist between the oil price and stock market returns during the period under study.

Keywords: Stock Market Returns; Oil Price; Autoregressive Distributed Lag; Bound Testing (search for similar items in EconPapers)
JEL-codes: C32 E44 Q43 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:eco:journ2:2019-01-24

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