Effects of Selected Macroeconomic Variables on Stock Market Returns in Nigeria
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Date
2020-08
Journal Title
Journal ISSN
Volume Title
Publisher
Asian Journal of Economics, Business and Accounting
Abstract
The paper empirically examines the effects of selected macroeconomic variables on stock market
returns in Nigeria within the period 1985 and 2014 with a view to determining the macro-factors
determining stock market returns in Nigeria. The Autoregressive Distributed Lag (ARDL) approach
was employed to examine both the short and long-run effects of selected macroeconomic variables
on stock market returns using annual time series data spanning 1985 to 2014. The findings show
that both foreign direct investment inflows and external debt do not have significant impact on stock
market returns in Nigeria while money supply and trade openness have significant positive effect on
stock market returns in the long-run. The annual speed of adjustment towards equilibrium is 91 per
cent. The causality results show two-way causality between the nominal stock market returns and
foreign direct investment inflows, while one-way causality runs from nominal stock market returns to
trade openness.
Description
Staff Publication
Keywords
Macroeconomic variables;, stock market returns;, autoregressive distributed lag bounds testing approach;, Zivot and Andrew unit root test;, multivariate causality test.