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DO STOCK MARKET CYCLES CAUSE ECONOMIC CYCLES? THE CASE OF NIGERIA

Ikpefan, Ochei Ailemen and Ucheaga, E. G. and Ibidapo, D. and Adeagbo, M. (2017) DO STOCK MARKET CYCLES CAUSE ECONOMIC CYCLES? THE CASE OF NIGERIA. In: CUCEN 2017, Covenant University, Ota.

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Abstract

Theoretically, stock market cycles precede an economic cycle, however the track record of stock market participants in predicting business cycles has been poor. This paper investigates the causal relationship existing between the All Share Index and real GDP. The study covers the period between 1985 and 2015. Data was obtained from CBN Statistical Bulletin 2015 and World Bank World Development Indicators 2015. The study employed the Hodrick-Prescott filter to obtain the cyclical series of the ASI and real GDP. Using the Granger causality test to investigate the causal relationship between the economic variables, the study found that the ASI does not Granger cause real GDP and real GDP does not Granger cause ASI at any lag length. The study recommends that investors should be more careful in estimating stock price valuations and rigorous in preparing their economic outlook as pessimism in the stock market is not always justified by a weakening economy.

Item Type: Conference or Workshop Item (Paper)
Subjects: H Social Sciences > HG Finance
Divisions: Faculty of Law, Arts and Social Sciences > School of Management
Depositing User: Mr Adewole Adewumi
Date Deposited: 05 Mar 2018 17:51
Last Modified: 05 Mar 2018 17:51
URI: http://eprints.covenantuniversity.edu.ng/id/eprint/10312

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