<abstract xmlns="http://www.w3.org/1999/xhtml"><p>Since macroeconomic fundamentals have been found to play a vital role for changes in the economy of a country. Consequently, the onus is on the appropriate regulatory authorities to take measures in making amendments in these policies to put the economy on the right development track. The aim of this study is to use time series analysis to empirically showcase the nexus between macroeconomic fundamentals and stock prices in Nigeria. The method used for this study was the Co-integration test and the EGARCH technique to estimate the possible influence of the selected macroeconomic fundamentals on stock prices. Volatility was captured by using quarterly data and estimated using GARCH (1,1) respectively. The study found there is a positive relationship between macroeconomic factors and stock prices in Nigeria. Therefore, the study recommends that the Federal authority should put in place policy measures that will enable the exchange rate to be relatively stabilized. This is because empirical evidence from studies has shown that exchange rate affects stock market prices. In addition, the government authority should ensure an enabling environment that would build the mindset of institutional investors in the Nigerian stock market due to the existence of information asymmetry problems among potential investors.</p></abstract>

Since macroeconomic fundamentals have been found to play a vital role for changes in the economy of a country. Consequently, the onus is on the appropriate regulatory authorities to take measures in making amendments in these policies to put the economy on the right development track. The aim of this study is to use time series analysis to empirically showcase the nexus between macroeconomic fundamentals and stock prices in Nigeria. The method used for this study was the Co-integration test and the EGARCH technique to estimate the possible influence of the selected macroeconomic fundamentals on stock prices. Volatility was captured by using quarterly data and estimated using GARCH (1,1) respectively. The study found there is a positive relationship between macroeconomic factors and stock prices in Nigeria. Therefore, the study recommends that the Federal authority should put in place policy measures that will enable the exchange rate to be relatively stabilized. This is because empirical evidence from studies has shown that exchange rate affects stock market prices. In addition, the government authority should ensure an enabling environment that would build the mindset of institutional investors in the Nigerian stock market due to the existence of information asymmetry problems among potential investors.

A Time Series Analysis of the Nexus Between Macroeconomic Fundamentals and Stock Prices in Nigeria

Studies in Business and Economics

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

Since macroeconomic fundamentals have been found to play a vital role for changes in the economy of a country. Consequently, the onus is on the appropriate...

A Time Series Analysis of the Nexus Between Macroeconomic Fundamentals and Stock Prices in Nigeria

Publicado en línea: 10 sept 2018

Páginas: 69 - 91

DOI: https://doi.org/10.2478/sbe-2018-0021

Palabras clave
Time series Model, Stock Market, EGARCH, Macroeconomic Policy, Nigeria, Financial Market, E-views, Macroeconomic impact

© 2018 Ditimi Amassoma et al., published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

A Time Series Analysis of the Nexus Between Macroeconomic Fundamentals and Stock Prices in Nigeria

Publicado en línea: 10 sept 2018

Páginas: 69 - 91

DOI: https://doi.org/10.2478/sbe-2018-0021

Palabras claveTime series Model, Stock Market, EGARCH, Macroeconomic Policy, Nigeria, Financial Market, E-views, Macroeconomic impact

© 2018 Ditimi Amassoma et al., published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

Palabras clave
Time series Model, Stock Market, EGARCH, Macroeconomic Policy, Nigeria, Financial Market, E-views, Macroeconomic impact