ASSESSING OF ECONOMIC-VARIABLES ON THE PERFORMANCE OF BOND MARKET IN NIGERIA
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Abstract
The study assessed economic variables on the performance of bond market in Nigeria. The study used time series data spanning a period from 2000 to 2012 and the domestic variables employed were Money supply, Exchange rate, Nigeria treasury bills rate, inflation rate, and US Stock price as a proxy for international influence on bond market in Nigeria. The Augmented Dickey-Fuller and Philip-Perron tests were used to determine the stochastic properties of the series. Within the theoretical framework of the Arbitrage Pricing Theory, a stationary VAR model was estimated and used to analyze the short run impact of selected macroeconomic variables using data for the period. The results show that there was marginal influence of the domestic variables. The effect of changes in the exchange rate contributes a high of 5.6 percent change in bond prices which is larger than that of all the other domestic variables. This implies that the Nigerian bond market is prone to the well-known contagion effect of global financial market. The study recommends that monetary authorities should be careful with the current efforts at internationalization of the Nigerian bond Market.
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