Stock market returns and macroeconomic variables in nigeria: testing for dynamic linkages with a structural break

Stock market returns and macroeconomic variables in nigeria: testing for dynamic linkages with a structural break

The paper analysed the dynamic interactions between two macroeconomic variables and stock market returns in Nigeria from 1970-2013, using F-Bound Cointegration and Todayamamoto Causality tests that are robust to structural breaks. The result of Zivot Andrew unit root test indicated that all the var...

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Main Authors: Ali, Umar Ahmad, Abdullah, Adam, Ahmad, Tijjani Abdullahi, Umar, Abdul Aziz Muhammad
Format: Article
Language:English
Published: SAS Publishers 2015
Subjects:
HB Economic Theory
Online Access:http://irep.iium.edu.my/44682/
http://irep.iium.edu.my/44682/
http://irep.iium.edu.my/44682/1/Umar%2C_15-08%2C_SJEBM.pdf
id iium-44682
recordtype eprints
spelling iium-446822019-04-03T03:28:42Z http://irep.iium.edu.my/44682/ Stock market returns and macroeconomic variables in nigeria: testing for dynamic linkages with a structural break Ali, Umar Ahmad Abdullah, Adam Ahmad, Tijjani Abdullahi Umar, Abdul Aziz Muhammad HB Economic Theory The paper analysed the dynamic interactions between two macroeconomic variables and stock market returns in Nigeria from 1970-2013, using F-Bound Cointegration and Todayamamoto Causality tests that are robust to structural breaks. The result of Zivot Andrew unit root test indicated that all the variables were non stationary at level but stationary at first difference. The result of ARDL F-Bound Test to cointegration also indicated that cointegration exist among the variables. In the sense of Causality Test, there is a strong evidence of uni-directional causality from per capita income to stock market returns and from inflation to stock market returns.It is also indicated that gross domestic per capita income and inflation jointly caused the stock market returns. In the context of policy implications, this study suggests that government should formulate appropriate policy to encourage investment in financial markets which in resulting stimulate economic growth. SAS Publishers 2015-08 Article PeerReviewed application/pdf en http://irep.iium.edu.my/44682/1/Umar%2C_15-08%2C_SJEBM.pdf Ali, Umar Ahmad and Abdullah, Adam and Ahmad, Tijjani Abdullahi and Umar, Abdul Aziz Muhammad (2015) Stock market returns and macroeconomic variables in nigeria: testing for dynamic linkages with a structural break. Scholars Journal of Economics, Business and Management, 2 (8(A)). pp. 816-828. ISSN 2348-5302 http://saspjournals.com/wp-content/uploads/2015/08/SJEBM-28A816-828.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
Ahmad, Tijjani Abdullahi
Umar, Abdul Aziz Muhammad
Stock market returns and macroeconomic variables in nigeria: testing for dynamic linkages with a structural break
description The paper analysed the dynamic interactions between two macroeconomic variables and stock market returns in Nigeria from 1970-2013, using F-Bound Cointegration and Todayamamoto Causality tests that are robust to structural breaks. The result of Zivot Andrew unit root test indicated that all the variables were non stationary at level but stationary at first difference. The result of ARDL F-Bound Test to cointegration also indicated that cointegration exist among the variables. In the sense of Causality Test, there is a strong evidence of uni-directional causality from per capita income to stock market returns and from inflation to stock market returns.It is also indicated that gross domestic per capita income and inflation jointly caused the stock market returns. In the context of policy implications, this study suggests that government should formulate appropriate policy to encourage investment in financial markets which in resulting stimulate economic growth.
format Article
author Ali, Umar Ahmad
Abdullah, Adam
Ahmad, Tijjani Abdullahi
Umar, Abdul Aziz Muhammad
author_facet Ali, Umar Ahmad
Abdullah, Adam
Ahmad, Tijjani Abdullahi
Umar, Abdul Aziz Muhammad
author_sort Ali, Umar Ahmad
title Stock market returns and macroeconomic variables in nigeria: testing for dynamic linkages with a structural break
title_short Stock market returns and macroeconomic variables in nigeria: testing for dynamic linkages with a structural break
title_full Stock market returns and macroeconomic variables in nigeria: testing for dynamic linkages with a structural break
title_fullStr Stock market returns and macroeconomic variables in nigeria: testing for dynamic linkages with a structural break
title_full_unstemmed Stock market returns and macroeconomic variables in nigeria: testing for dynamic linkages with a structural break
title_sort stock market returns and macroeconomic variables in nigeria: testing for dynamic linkages with a structural break
publisher SAS Publishers
publishDate 2015
url http://irep.iium.edu.my/44682/
http://irep.iium.edu.my/44682/
http://irep.iium.edu.my/44682/1/Umar%2C_15-08%2C_SJEBM.pdf
first_indexed 2023-09-18T21:03:31Z
last_indexed 2023-09-18T21:03:31Z
_version_ 1777410780663119872

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