Impact of Long-Run Exchange Rate Volatility on Stock Market Performance in Nigeria
Journal Title: International Journal of Management Sciences - Year 2014, Vol 2, Issue 2
Abstract
This study looks at the long-run effects of exchange rate on stock market performance in Nigeria between 1988 and 2012 using cointegration tests. A bi-variate model was specified and empirical results show a significant positive stock market performance to exchange rate on the short-run and a significant negative stock market performance to exchange rate on the long-run. The granger causality test shows a strong evidence that the causation runs from exchange rate to stock market performance, implying that variations in the Nigerian stock market is explained by exchange rate volatility.
Authors and Affiliations
Chigbu Emmanuel Ezeji
Keywords
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