Stock Market Response to Economic Growth and Interest Rate Volatility: Evidence from Nigeria

Babajide, A. A and Lawal, Adedoyin Isola and Somoye, Russel Olukayode (2016) Stock Market Response to Economic Growth and Interest Rate Volatility: Evidence from Nigeria. International Journal of Economics and Financial Issues, 6 (1). pp. 354-360. ISSN 2146-4138

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Abstract

This study examined the relationship between macroeconomic variable volatility and stock market return within the context of Blanchard (1981) extension of the Hicks (1937) IS-LM hypothesis, using exponential general autoregressive conditional heteroskedascity estimation techniques to analysis monthly data sourced on the Nigerian economy from January 1985 to December 2013. Our result shows that stock prices responds significantly to innovations in the interest rate and the real gross domestic product (RGDP), we therefore recommends that policy makers on the one hand should consider volatility in both the interest rate and the RGDP when making policies aimed at enhancing stock market development. On the other hand, market practitioners are expected to make provisions for volatility in interest rate and the RGDP when making portfolio decisions

Item Type:	Article
Uncontrolled Keywords:	Interest Rate, Real Gross Domestic Product, All Share Price, Volatility, Exponential General Autoregressive Conditional Heteroskedascity
Subjects:	H Social Sciences > HB Economic Theory H Social Sciences > HG Finance
Divisions:	Faculty of Law, Arts and Social Sciences > School of Social Sciences
Depositing User:	Mrs Patricia Nwokealisi
Date Deposited:	14 Mar 2016 12:51
Last Modified:	14 Mar 2016 12:51
URI:	http://eprints.covenantuniversity.edu.ng/id/eprint/6437

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