To get access to the full text of this article:
Faculty of Management Sciences,
Benue State University, Makurdi, Nigeria.
* Email: njmsbsu@gmail.com
Nigeria Journal of Management Sciences (NJMS), Benue State University
Exchange Rate Volatility and Stock Market Performance in Nigeria
Dr. Fapetu, Oladapo1 Dr. Adeyeye, Patrick Olufemi2* Seyingbo, Oluwagbenga Abayomi3 & Owoeye, Segun Daniel4:
1Entrepreneurship Management Technology Federal University of Technology, Akure, Ondo Department of Banking & Finance, College of Management Sciences, Federal University of Agriculture, Abeokuta, Ogun State, Nigeria, E-mail: drfapetu@gmail.com; Tel:+2348062163511
2Postdoctoral Research Fellow, Graduate School of Business & Leadership, University of KwaZulu-Natal, Westville, Durban, 4000, South Africa.
E-mail: adeyeyeo@ukzn.ac.za; adeyeyepo@gmail.com Tel: +27785467443.
3Department of Finance, University of Ilorin, Kwara State, Nigeria, Mail: seyingboolugbenga@gmail.com, Tel: +2347034852932
4Department of Banking & Finance, College of Management Sciences, Federal University of Agriculture, Abeokuta, Ogun State, Nigeria, E-mail: benesto133@gmail.com, Tel:+2348036049473
Abstract
The study examined the impact of exchange rate on stock market performance using monthly data of MCAP as indicators for stock market performance and monthly data on exchange rate as the parameter for measuring exchange rate volatility. Four different estimation techniques [Autoregressive Conditional Heteroscedasticity (ARCH), Generalised Autoregressive Conditional Heteroscedasticity (GARCH), Exponential Generalised Autoregressive Conditional Heteroscedasticity (EGARCH) and Threshold Autoregressive Conditional Heteroscedasticity (TARCH)] were used. The results revealed that exchange rate has a positive relationship with market capitalization rate in Nigeria in all the four models examined in the study. However, the study showed that the volatility of variance of the residual among the four models differs from each other. It was discovered that there is no ARCH effect in the ARCH model, while there is ARCH and GARCH effect in the GARCH model. The study recommended that government should enforce policy to discourage importation of non-essential, less-productive goods and services and also create the enabling and favourable environment to encourage production and exportation of goods and services.Key words: stock price, foreign exchange rate, Ganger causality test, volatility, market capitalization.
JEL Classification Codes: C1, C2, G1, G12.
Recent Journals