University Links: Home Page | Site Map
Covenant University Repository

Stock Market Volatility and Non-Macroeconomic Factors: A Vector Error Correction Approach

Oladeji, Tolulope and Ikpefan, Ochei Ailemen and Alege, P. O. (2018) Stock Market Volatility and Non-Macroeconomic Factors: A Vector Error Correction Approach. Journal of Applied Economic Sciences, 2 (56). pp. 303-315. ISSN 2393 - 5162

[img] PDF
Download (986Kb)
Official URL:


Macroeconomic and non-macroeconomic factors are considered important in measuring market volatility; therefore, cannot be ignored, and the level of impact of these factors needs be determined in different economies. This study considered the impact of non-macroeconomic factors that drive stock market volatility in a developing economy using Nigeria annual stock data from 1985 to 2016. In order to achieve the objective, sets in this study, vector error correction model (VECM) is adopted. The impulse response function (RF) and the variance decomposition were used to determine the component of the VECM. Based on the VECM, a long run relationship was established between stock market volatility and non-macroeconomic variables considered. The empirical analysis revealed that gross domestic product, interest rate and the number of listed firms were found to decline in response to positive shock on stock market price volatility. The study recommended financial literacy of investors as it has the potential of boosting investment in the stock market. Investors are also encouraged to get their business listed on the stock exchange to improve diversification and stability in the stock market.

Item Type: Article
Uncontrolled Keywords: stock market volatility; vector error correction model; non-macroeconomic factors; macroeconomic factors
Subjects: H Social Sciences > H Social Sciences (General)
H Social Sciences > HB Economic Theory
H Social Sciences > HC Economic History and Conditions
Divisions: Faculty of Law, Arts and Social Sciences > School of Social Sciences
Depositing User: Mrs Hannah Akinwumi
Date Deposited: 15 Aug 2018 15:32
Last Modified: 15 Aug 2018 15:32

Actions (login required)

View Item View Item