An autoregressive distributive lag for the analysis of macroeconomic variables on stock market returns in Nigeria

This study provide an empirical investigation on the relationship between the stock market returns and macroeconomic variables in order to enhance the ability of economic agents in the analysis of stock market performance in Nigeria using Autoregressive Distributive Lag (ARDL). Annual time series da...

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Main Authors:	Ali, Umar Ahmad, Abdullah, Adam, Sulong, Zunaidah, Ahmad, TIjjani Abdullahi
Format:	Article
Language:	English
Published:	AENSI 2015
Subjects:	HB Economic Theory
Online Access:	http://irep.iium.edu.my/44678/ http://irep.iium.edu.my/44678/ http://irep.iium.edu.my/44678/1/Umar%2C_15-04-02%2C_RJSS.pdf

id	iium-44678
recordtype	eprints
spelling	iium-446782015-09-14T02:11:29Z http://irep.iium.edu.my/44678/ An autoregressive distributive lag for the analysis of macroeconomic variables on stock market returns in Nigeria Ali, Umar Ahmad Abdullah, Adam Sulong, Zunaidah Ahmad, TIjjani Abdullahi HB Economic Theory This study provide an empirical investigation on the relationship between the stock market returns and macroeconomic variables in order to enhance the ability of economic agents in the analysis of stock market performance in Nigeria using Autoregressive Distributive Lag (ARDL). Annual time series data of six variables namely; broad money supply, nominal effective exchange rate, short term treasury bills rate, foreign direct investment, gross domestic per capita income, and gross domestic saving from 1984-2013 were employed to analyse the existence of short-run and long-run relationship between the selected macroeconomic variables and stock market returns. The results from the Augmented Dickey-Fuller and Phillips-Perron tests of stationarity indicated that all the variables were non-stationary at level I (0) and were stationary at first difference I (1). The Bound test procedure also revealed that the stock market returns and the macroeconomic variables were cointegrated and, thus, a long-run equilibrium relationship exists between them. Likewise, the Granger causality tests showed that some of the macroeconomic variables were having bidirectional causality with the stock market returns; while others have unidirectional causality. As a result, Policy makers, financial institutions and private investors need to take the macroeconomic indicators into consideration when formulating financial and economic policies, diversification strategies and restructuring of the portfolios. AENSI 2015-04-02 Article PeerReviewed application/pdf en http://irep.iium.edu.my/44678/1/Umar%2C_15-04-02%2C_RJSS.pdf Ali, Umar Ahmad and Abdullah, Adam and Sulong, Zunaidah and Ahmad, TIjjani Abdullahi (2015) An autoregressive distributive lag for the analysis of macroeconomic variables on stock market returns in Nigeria. Research Journal of Social Sciences, 8 (4). pp. 112-133. ISSN 1815 - 9125 http://www.aensiweb.net/AENSIWEB/rjss/rjss/2015/July%202015/112-133.pdf
repository_type	Digital Repository
institution_category	Local University
institution	International Islamic University Malaysia
building	IIUM Repository
collection	Online Access
language	English
topic	HB Economic Theory
spellingShingle	HB Economic Theory Ali, Umar Ahmad Abdullah, Adam Sulong, Zunaidah Ahmad, TIjjani Abdullahi An autoregressive distributive lag for the analysis of macroeconomic variables on stock market returns in Nigeria
description	This study provide an empirical investigation on the relationship between the stock market returns and macroeconomic variables in order to enhance the ability of economic agents in the analysis of stock market performance in Nigeria using Autoregressive Distributive Lag (ARDL). Annual time series data of six variables namely; broad money supply, nominal effective exchange rate, short term treasury bills rate, foreign direct investment, gross domestic per capita income, and gross domestic saving from 1984-2013 were employed to analyse the existence of short-run and long-run relationship between the selected macroeconomic variables and stock market returns. The results from the Augmented Dickey-Fuller and Phillips-Perron tests of stationarity indicated that all the variables were non-stationary at level I (0) and were stationary at first difference I (1). The Bound test procedure also revealed that the stock market returns and the macroeconomic variables were cointegrated and, thus, a long-run equilibrium relationship exists between them. Likewise, the Granger causality tests showed that some of the macroeconomic variables were having bidirectional causality with the stock market returns; while others have unidirectional causality. As a result, Policy makers, financial institutions and private investors need to take the macroeconomic indicators into consideration when formulating financial and economic policies, diversification strategies and restructuring of the portfolios.
format	Article
author	Ali, Umar Ahmad Abdullah, Adam Sulong, Zunaidah Ahmad, TIjjani Abdullahi
author_facet	Ali, Umar Ahmad Abdullah, Adam Sulong, Zunaidah Ahmad, TIjjani Abdullahi
author_sort	Ali, Umar Ahmad
title	An autoregressive distributive lag for the analysis of macroeconomic variables on stock market returns in Nigeria
title_short	An autoregressive distributive lag for the analysis of macroeconomic variables on stock market returns in Nigeria
title_full	An autoregressive distributive lag for the analysis of macroeconomic variables on stock market returns in Nigeria
title_fullStr	An autoregressive distributive lag for the analysis of macroeconomic variables on stock market returns in Nigeria
title_full_unstemmed	An autoregressive distributive lag for the analysis of macroeconomic variables on stock market returns in Nigeria
title_sort	autoregressive distributive lag for the analysis of macroeconomic variables on stock market returns in nigeria
publisher	AENSI
publishDate	2015
url	http://irep.iium.edu.my/44678/ http://irep.iium.edu.my/44678/ http://irep.iium.edu.my/44678/1/Umar%2C_15-04-02%2C_RJSS.pdf
first_indexed	2023-09-18T21:03:30Z
last_indexed	2023-09-18T21:03:30Z
_version_	1777410780074868736

An autoregressive distributive lag for the analysis of macroeconomic variables on stock market returns in Nigeria

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