AN INTERPLAY OF OIL PRICE VOLATILITY, EXCHANGE RATE AND STOCK RETURNS IN NIGERIA

Williams Odiche
Additional contact information
Williams Odiche: Institution, University of Stavanger, Norway.

Post-Print from HAL

Abstract: We analyze the interplay of oil price volatility, exchange rate and stock market return in Nigeria using 5-days daily data covering 1985 to 2021. The variables used in the study are oil price and exchange rate volatilities as the independent variables, and stock market return as the dependent variable. The data for the study was obtained from the CBN statistical database; We employed descriptive statistics and VECH GARCH (1,1) model in our estimation. The result of the analysis shows that both the exchange rate and oil price volatility positively and significantly influence the shocks to stock market return in Nigeria. In conclusion, we observed that shocks to stock market return are attributed to oil price volatility and exchange rate volatility. we advocate for the diversification of the Nigerian economy to reduce the impact of oil price volatility on stock market return.

Date: 2022-12-31
References: Add references at CitEc
Citations:

Published in Journal of Global Economics, Management and Business Research, 2022, 14 (3-4), pp.24-38. ⟨10.56557/jgembr/2022/v14i38048⟩

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
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:hal:journl:hal-05134270

DOI: 10.56557/jgembr/2022/v14i38048

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().