Impact of Oil Price Shocks on Sectoral Returns in Nigeria Stock Market

Chibueze E. Onyeke, Ifeoma Nwakoby, Josaphat U. J. Onwumere, Ifeoma Ihegboro and Chidiebere Nnamani
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Chibueze E. Onyeke: Department of Banking and Finance, University of Nigeria, Enugu Campus, Nigeria,
Ifeoma Nwakoby: Department of Banking and Finance, University of Nigeria, Enugu Campus, Nigeria,
Josaphat U. J. Onwumere: Department of Banking and Finance, University of Nigeria, Enugu Campus, Nigeria,
Ifeoma Ihegboro: Department of Banking and Finance, University of Nigeria, Enugu Campus, Nigeria,
Chidiebere Nnamani: Department of Accountancy, University of Nigeria, Enugu Campus, Nigeria

International Journal of Energy Economics and Policy, 2020, vol. 10, issue 6, 208-215

Abstract: This paper investigates the impact of oil price shocks on stock returns in Nigeria using monthly data on four sectoral indices Banking, Insurance, Food, Beverages, & Tobacco (FB&T) and Oil & Gas (O&G) over the period January 2010 to December 2018. The oil price shocks are decomposed into precautionary demand, aggregate demand, and supply sources. The outcome of the estimation of a Structural Vector Autoregressive (SVAR) model suggests that precautionary demand oil shock had negative and significant impact on the sectoral returns except for FB&T whose response was insignificant; aggregate demand oil shock had a negative but insignificant impact on the sectoral returns but for the O&G sector whose response was positive although insignificant; whereas oil supply shock had a positive but insignificant impact on the sectoral returns in the Nigerian stock market. However, O&G sector was the only exception with negative response to oil supply shock, albeit, insignificantly.

Keywords: Oil Price; Stock Returns; Structural VAR. (search for similar items in EconPapers)
JEL-codes: G (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eco:journ2:2020-06-27

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