EconPapers    
Economics at your fingertips  
 

The relationship between oil prices and the Nigerian stock market. An analysis based on fractional integration and cointegration

Luis Gil-Alana () and Olaoluwa Yaya ()

Energy Economics, 2014, vol. 46, issue C, 328-333

Abstract: We examine the relationship between oil prices and the stock market in Nigeria. We focus on the degree of persistence of the series, and based on the similarities observed between the two series, a fractionally cointegrated framework is proposed. The results indicate that the two series display a similar order of integration, which is close to, although above 1. Testing for cointegration, this is decisively rejected since the order of integration in the equilibrium relationship was similar to that of the individual series. However, testing for long memory with oil prices acting as a weakly exogenous regressor, we obtained significant evidence of a positive relationship between the two variables though with a short memory effect, this relation being significant only during the following three months.

Keywords: Oil prices; Nigeria; Fractional cointegration (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Date: 2014
References: Add references at CitEc
Citations: View citations in EconPapers (5) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0140988314002436
Full text for ScienceDirect subscribers only

Related works:
Working Paper: The Relationship Between Oil Prices and the Nigerian Stock Market, an Analysis Based on Fractional Integration and Cointegration (2014) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:46:y:2014:i:c:p:328-333

Access Statistics for this article

Energy Economics is currently edited by R. S. J. Tol, Beng Ang, Lance Bachmeier, Perry Sadorsky, Ugur Soytas and J. P. Weyant

More articles in Energy Economics from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

 
Page updated 2019-04-08
Handle: RePEc:eee:eneeco:v:46:y:2014:i:c:p:328-333