On the Reaction of Stock Market to Monetary Policy Innovations: New Evidence from Nigeria
Journal Title: Academic Journal of Economic Studies - Year 2019, Vol 5, Issue 2
Abstract
The paper analysed the asymmetric effect of monetary policy to stock market in Nigeria. The study is conducted by using an EGARCH(X) model. The exogenous variable is a dummy variable which account for the monetary policy committee meetings of the central bank of Nigeria. All the parameters of the estimated model are statistically significant. The significance of the dummy variable in the mean and variance equation, couple with the significance of the asymmetric parameter provides empirical evidence that investors react to monetary policy innovation in Nigeria. The paper recommends for sound monetary policy that will develop and stabilize the stock market.
Authors and Affiliations
Abdul-Nasir T. Yola
Keywords
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