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Home  >  Volume 36 (no2)

A study of crude oil prices, exchange rate, interest rate and stock market volatility in Nigeria by MbahG.C.E.a and FanyamA.C.b,(pages 151-162)
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Abstract

This paper consideredtheproblem ofdeterminingtheimpact ofpriceofcrudeoil,exchangerate andinterest rate volatilityontheNigerian Stockexchangemarket.Themultifactormodelisusedtoevaluate theeffect ofthe selectedmacroeconomicvariables and thestock market volatilityusingdata fromJanuary2005to December2013. Thetest forstationaritywasperformed usingAugmentDickeyFuller(ADF) unit root test and ordinary least square were employed to determine the parameters of the model. Theresultofthisstudyrevealedthatthevolatilityoftheselectedmacroeconomic variables greatly affectstheNigerianstockmarket

Keywords: Macroeconomic Variables, Volatility, StockReturns, Liquidity, hedge ratio, factor betas, Nigerian StockExchange.

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