Impact of Long-Run Exchange Rate Volatility on Stock Market Performance in Nigeria

Chigbu Emmanuel Ezeji

International Journal of Management Sciences, 2014, vol. 2, issue 2, 70-77

Abstract: This study looks at the long-run effects of exchange rate on stock market performance in Nigeria between 1988 and 2012 using cointegration tests. A bi-variate model was specified and empirical results show a significant positive stock market performance to exchange rate on the short-run and a significant negative stock market performance to exchange rate on the long-run. The granger causality test shows a strong evidence that the causation runs from exchange rate to stock market performance, implying that variations in the Nigerian stock market is explained by exchange rate volatility.

Keywords: Stock market performance; Bi-variate model; stock price Behaviour; Econometric tests; Long-run cointegration tests. (search for similar items in EconPapers)
Date: 2014
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