ANALYSIS OF STOCK PRICES AND EXCHANGE RATE INTERACTIONS IN NIGERIA
- Project Research
- 1-5 Chapters
- Abstract : Available
- Table of Content: Available
- Reference Style: APA
- Recommended for : Student Researchers
- NGN 5000
ABSTRACT
The need to capture stock market and foreign exchange market nexus in Nigeria is underscored by the rapidly expanding financial markets integration due to trade and financial liberalization policies which seem to have enhanced the inflow of capital as well as accelerated investment/business interactions. Theoretically, the relationship between stock prices and exchange rate can be either positive or negative and can also run either way. This study therefore captures returns/mean and volatility spillovers between the stock and foreign exchange markets in Nigeria. The study empirically analyzes stock prices and exchange rate interactions with VAR and multivariate generalized autoregressive conditional heteroscedasticity (GARCH) models using monthly data from January 2000 to October 2014. The results of the E-G and Johansen cointegration test show that there is stable long-term equilibrium relationship between stock prices and exchange rate. The empirical evidence of the VAR-GARCH model shows a significant mean spillover running from stock market to exchange market but not a mean spillover from exchange market to stock market. Furthermore, the variance equation results show that there exist bi-directional volatility transmission effect between the two markets, indicating the past innovations in stock market have the great effect on future volatility in foreign exchange market, and vice versa. The results have important implications for international portfolio managers in the portfolio diversification decisions and risk hedging strategies.
Related Project Materials
AN APPRAISAL OF TRADE DISPUTES SETTLEMENT MECHANISMS IN NIGERIA
ABSTRACT
In Nigeria, in spite of the statutory mechanisms put in place to mitigate disputes, the phenomenon has been on the increase and...
THE INFLUENCE OF POLITICS ON NIGERIA EDUCATION SECTOR
ABSTRACT
The focus of this study is to find out t...
EFFECTS OF URBAN RENEWAL ON WOMEN'S ROLE
ABSTRACT
This project work is aimed at finding out the extent to which the family r...
The impact of mobile technology on investment banking services: a case study of Ecobank Nigeria
Background of the Study
Mobile technology has transformed the way financial services are delivered, offering unprecedented...
An evaluation of customer acquisition strategies in corporate banking: A case study of Fidelity Bank Nigeria, Kano
Background of the Study
Customer acquisition is critical to the success of corporate banking, as it directly influences mar...
The Effect of Family Education on Caregiving Outcomes for Alzheimer’s Patients in Sokoto State Healthcare Facilities
Background of the Study
Alzheimer’s disease is a progressive neurodegenerative disorder that le...
Investigating the Influence of Media on the Acceptance of COVID-19 Vaccination in Fika Local Government Area, Yobe State
Chapter One: Introduction
1.1 Background of the Study...
Digital Media and Its Role in Advancing Adult Education in Bade Local Government Area, Yobe State
Chapter One: Introduction
An Appraisal of Nurses’ Role in Preventing Hospital Readmissions in Taraba State
Background of the Study
Hospital readmissions are a significant concern in healthcare systems worldwi...
An Evaluation of the Role of Women’s Rights Organizations in Promoting Gender Equality in Politics in Makurdi Local Government Area, Benue State
Background of the Study
Gender equality in politics remains a significant issue in Nigeria, with women...
