Babajide, A. A and Lawal, Adedoyin Isola and Somoye, Russel O. (2017) Stock Market Volatility: Does our Fundamentals Matter? Economic Studies Journal, 3. pp. 33-42.
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Abstract
This study used EGARCH estimation techniques to examine the impact of the systematic risk emanating from the macroeconomy on stock market volatility based on monthly data sourced from 1985 to 2013 on the Nigerian economy. Our results show that all the macroeconomic variables tested exerts on stock market pricing and that the stock market pricing is most influenced by exchange rate volatility. We thus recommend that policy makers on the one hand should pay close attention to the innovations in the macroeconomic variables when formulating macroeconomic or financial stability policy. On the other hand, market practitioners should calibrate volatility of macroeconomic variables in their portfolio decision making process
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | Macroeconomic variables, All share index, EGARCH, Volatility, Nigeria |
| Subjects: | H Social Sciences > H Social Sciences (General) 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 Hannah Akinwumi |
| Date Deposited: | 10 Jan 2018 14:12 |
| Last Modified: | 10 Jan 2018 14:12 |
| URI: | http://eprints.covenantuniversity.edu.ng/id/eprint/9954 |
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