Stock Prices and Exchange Rate Interactions in Nigeria: A Maiden Intra-Global Financial Crisis Investigation
The IUP Journal of Financial Economics, 2009, vol. VII, issue 3 & 4, 7-23
This paper examines the long and short-run interactions between stock prices and exchange rates in Nigeria, based on a sample, from February 1, 2001 to December 31, 2008. Three models were derived from the sample—the pre-crisis, crisis and basic models. The paper tests the time series properties of the series using the Augmented Dickey Fuller (ADF) and the Philips and Perron (PP) tests. In addition, the Engle and Granger two-step and the Johansen and Juselius cointegration procedures are also applied. The empirical results show that all the series are I(1) and evidence of cointegration is established using the Johansen and Juselius methodology. Furthermore, causality tests reveal strong evidence of long-run bidirectional relationships between stock prices and exchange rates in the models. Policy-wise, the findings imply that the monetary authorities in Nigeria are not constrained to take stock market developments into account in achieving their exchange rate policy objectives, as established in the paper. It, therefore, recommends putting measures in place that would promote greater stability and efficiency of Nigeria’s foreign exchange market.
References: Add references at CitEc
Citations: View citations in EconPapers (4) Track citations by RSS feed
There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:icf:icfjfe:v:07:y:2009:i:3&4:p:7-23
Access Statistics for this article
More articles in The IUP Journal of Financial Economics from IUP Publications
Bibliographic data for series maintained by G R K Murty ().