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Home  >  Volume 43

33. Statistical Analysis of Stock Prices and Foreign Direct Investment in Nigeria BY Musa Y.1,a and Shuaibu A.2 JNAMP Vol. 43,(Sept. and Nov., 2017), pp 243 – 250
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Abstract

The potential relationship between stock price and foreign direct investment with variables of interest using Modified Wald test and Wald test granger causality test were examined. The vector error correction model was also employed to capture the dynamic interactions among the variables. The Modified test shows that there is unidirectional granger causality between stock price and exchange rate and with bidirectional causality between foreign investment and exchange rate. The causality between stock price and import & export rate was independent. There is unidirectional causality between foreign investment and growth rate, import rate and stock price. The Wald test shows there are unidirectional and independent cause among the variables. The Modified Wald test has comparable performance to Wald test. A Vector Error Correction model was estimated with three cointegration relations. For Both stock price and foreign direct investment, the second and third error correction term indicates a short term adjustments towards the equilibrium path.

Keywords: Causality, Cointegration, vector error correction model. 

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