Lawal, Ganiyu Omoniyi and Aweda, Nurudeen Olawale and Oyeyemi, Gafar Matanmi (2015) A Conditional Restricted Equilibrium Correction Model on Nigerian Stock Exchange All-Share Index and Macroeconomic Indicators with 2008 Global Financial Crisis Effects: A Univariate Framework Approach. American Journal of Mathematics and Statistics, 5 (3). pp. 150-162.
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Abstract
This paper employed the modified autoregressive distributed lag (ADRL) procedure to establish a univariate single level relationship existing between the Nigerian Stock Exchange (NSE) All-Share Index and three macroeconomic indicators such as Treasury bill rate, nominal exchange rate and inflation rate in Nigeria. A conditional restricted equilibrium correction model (ECM) was postulated with significant long-run relationship between NSE All-Share Index, exchange rate and inflation rate. The model relates exchange rate and inflation rate negatively with the All-Share Index in the long-run. Treasury bill rate have no long-run relationship with All-Share Index. The short-run dynamics indicated a negative causal relationship between All-Share Index and the three macroeconomic indicators. The results of this paper showed that All-Share index is slow to react to any disequilibrium caused by shocks on these macroeconomic indicators in the long-run. The 2008 global financial crisis had an insignificant negative effect on the NSE All-Share Index due to improved financial deepening. Monetary policy stability is crucial to price level control because inflation is a monetary phenomenon in Nigeria. Therefore, this paper propose that the efficient use of Treasury bills as apparatus of monetary policy (inflation-targeting) and major source of government financing is essential to the growth of the Nigerian stock market. In addition to efficient monetary policy through interest rate and most importantly exchange rate, a secure fiscal discipline through effective government spending will likely have a positive effect on the All-Share Index rapidly and directly.
| Item Type: | Article |
|---|---|
| Subjects: | Q Science > Q Science (General) Q Science > QA Mathematics |
| Divisions: | Faculty of Engineering, Science and Mathematics > School of Mathematics |
| Depositing User: | Mr Taiwo Egbeyemi |
| Date Deposited: | 09 Jun 2020 16:22 |
| Last Modified: | 09 Jun 2020 16:22 |
| URI: | http://eprints.federalpolyilaro.edu.ng/id/eprint/398 |
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