An Econometric Analysis of the Impact of Macroecomomic Variables on Stock Market Movement in Nigeria

T. O. Asaolu ； M. S. Ogunmuyiwa

《Asian Journal of Business Management》 3卷1期 (2011/02) Pp. 72-78

並列摘要

This study investigates the impact of macroeconomic variables on Average Share Price (ASP) and goes further to determine whether changes in macroeconomic variables explain movements in stock prices in Nigeria. Various econometric analysis such as Augmented Dickey Fuller (ADF) test, Granger Causality test, Co-integration and Error Correction Method (ECM) were employed on time series data from 1986-2007 and the results revealed that a weak relationship exists between ASP and macroeconomic variables in Nigeria. The findings further point that ASP is not a leading indicator of macroeconomic performance in Nigeria, albeit, a long run relationship was found between ASP and macroeconomic variables for the period under review.

並列關鍵字

Granger causality ； macroeconomic variables ； stock market