IMPACT OF MACROECONOMIC VARIABLES ON STOCK RETURNS IN NIGERIA 2000 - 2012
IMPACT OF MACROECONOMIC VARIABLES ON STOCK RETURNS IN NIGERIA 2000 - 2012
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Date
2015-05
Authors
ALIYU, Maryam Yusuf
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Abstract
ABSTRACT
The study examined the impact of Macroeconomic variables on Stock returns in the Nigerian
capital market. 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 stock returns 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. Changes in the US Stock prices have a positive and
quantitatively larger effect on stock returns. In addition, the effect of changes in the exchange
rate contributes a high of 5.6 percent change in stock return which is larger than that of all the
other domestic variables. This implies that the Nigerian stock 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 internationalisation of the Nigerian Stock Market.
Description
A THESIS SUBMITTED TO THE SCHOOL OF POSTGRADUATE STUDIES,
AHMADU BELLO UNIVERSITY, ZARIA
IN PARTIAL FULFILLMENT FOR THE REQUIREMENTS FOR THE AWARD OF A
MASTER OF SCIENCE IN ECONOMICS
DEPARTMENT OF ECONOMICS
FACULTY OF SOCIAL SCIENCES
AHMADU BELLO UNIVERSITY, ZARIA
NIGERIA
Keywords
IMPACT, MACROECONOMIC, VARIABLES, STOCK, NIGERIA