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Article Information:
An Econometric Analysis of the Impact of Macroecomomic Variables on Stock Market Movement in Nigeria
T.O. Asaolu and M.S. Ogunmuyiwa
Corresponding Author: Michael Segun Ogunmuyiwa
Submitted: 2010 August, 31
Accepted: 2010 December, 18
Published: 2011 February, 15 |
Abstract:
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This study investigates the impact of macroeconomic variables on Average Share Price (ASP) and
goes further to determine whether changes in macroeconomic variables explain movements in stock prices in
Nigeria. Various econometric analysis such as Augmented Dickey Fuller (ADF) test, Granger Causality test,
Co-integration and Error Correction Method (ECM) were employed on time series data from 1986-2007 and
the results revealed that a weak relationship exists between ASP and macroeconomic variables in Nigeria. The
findings further point that ASP is not a leading indicator of macroeconomic performance in Nigeria, albeit, a
long run relationship was found between ASP and macroeconomic variables for the period under review.
Key words: Granger causality, macroeconomic variables, stock market, , , ,
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Cite this Reference:
T.O. Asaolu and M.S. Ogunmuyiwa, . An Econometric Analysis of the Impact of Macroecomomic Variables on Stock Market Movement in Nigeria. Asian Journal of Business Management, (1): 72-78.
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ISSN (Online): 2041-8752
ISSN (Print): 2041-8744 |
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