Analysis of the relationship between Oil price, Exchange rate and Stock market in Nigeria

Aremu Idowu Raheem and Musa Adebiyi Ayodeji

MPRA Paper from University Library of Munich, Germany

Abstract: The objective of this paper is to analyze the dynamic effects of oil price shock and exchange rate on the Nigeria stock market using monthly data from June 1999 to December 2014, applying Vector Autoregression (VAR) Model. Granger Causality Test, Impulse Response Functions (IRFs) and Variance Decomposition (VDC) were also used to aid in the analysis of the results. The findings showed that oil price, exchange rate and stock market are not co-integrated. Granger Causality Test result indicate that there is bidirectional causality between stock price and exchange rate, also there is bidirectional causality between oil price and exchange rate but unidirectional causality from oil proceed to exchange rate.

Keywords: Causality; Exchange Rate; Oil Price and Stock market (search for similar items in EconPapers)
JEL-codes: C32 E60 (search for similar items in EconPapers)
Date: 2016-09-06
New Economics Papers: this item is included in nep-ene, nep-mac and nep-sog
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