Examining the Effects of Oil Price Long Memory and Exchange Rate Long Memory on Stock Market Behavior in Nigeria

Adedoyin Isola Lawal, Samuel Olatunde Dahunsi, Abiola Ayopo Babajide, Abiola John Asaleye, Joseph Ojo Iseolorunkanmi, Henry Inegbedion, Charles Manasseh and B. Lawal-Adedoyin Bukola
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Adedoyin Isola Lawal: Department of Accounting and Finance, Landmark University, Omu Aran, Nigeria,
Samuel Olatunde Dahunsi: Sustainable Management of Natural Resources and Environment Research Group, Faculty of Environment and Labour Safety, Ton Duc Thang University, District 7, Ho Chi Minh City, Vietnam,
Abiola Ayopo Babajide: Department of Banking and Finance, Covenant University, Ota, Nigeria,
Abiola John Asaleye: Department of Economics, Landmark University, Nigeria,
Joseph Ojo Iseolorunkanmi: Department of Political Sciences, University of Kwazulu-Natal, South Africa,
Henry Inegbedion: Department of Business Studies, Landmark University, Nigeria
B. Lawal-Adedoyin Bukola: Department of Accounting and Finance, Landmark University, Omu Aran, Nigeria.

International Journal of Energy Economics and Policy, 2020, vol. 10, issue 4, 430-436

Abstract: The study examined the effect oil price long memory and exchange rate long memory on Nigeria's stock. We have used ARMA estimating techniques to assess whether one or both variables exert impact on the stock market in Nigeria. Our result shows that long memory stock price is driven by a long memory of the exchange rate and long stock of the oil price. We therefore recommend that policymakers pursue policies aimed at stabilizing, on the one hand, the exchange rate regime and ensuring the economy has a position in net oil exportations. We also recommend the development of portfolio strategies by market practitioners so that long-term memory in exchange rates as well as in oil pricing are considered when making investment decisions.

Keywords: Exchange rate; oil prices; Share prices; long memory; ARMA (search for similar items in EconPapers)
JEL-codes: C58 G15 O40 Q43 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eco:journ2:2020-04-54

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