Sensitivity of Stock Returns Volatility and Money Market Rates: Insight from Nigeria

Journal Title: Talaa - Year 2022, Vol 2, Issue 1


The study focused on how money market factors affected the stock returnfluctuations in the Nigerian setting. The study specifically looked at the impact of Treasury bill rates and monetary policy rates on the return fluctuations in Nigeria from2002 - 2016 over the study period. Financial econometrics study was performed using descriptive statistics, unit root test, heteroscedasticity, autocorrelation, GARCH (1.1), and GARCH-X (1.1) models. The series' stationarity was confirmed using the PP test and the Equally Augmented Dickey-Fuller (ADF) test. Additionally, a Benchmark GARCH (1.1) model was estimated to study the volatility. A diagnostic test was run using the Ljung-Box Q-Statistics to determine the robustness of the calculated GARCH model. The overall finding indicated that there was significant volatility clustering that was still present in the Nigerian exchange group, suggesting that it would take some time for the market's reaction to volatility shocks from the prior period to be completely eliminated. The study also discovered that changes in treasury bill rates and monetary policy rates significantly reduce the volatility of returns on the stock in Nigeria, supporting the idea that there is an inverse link between the value of money and the value of capital markets.

Authors and Affiliations

Stephen Friday Aleke,Paul C. Obidike,Frankline C. S. A. Okeke,Sandra Ijeoma Echeonwu,Kalu O. Emineke,


Related Articles

Prospects of Developing Islamic Financial Institutions in North Bolaang Mongondow Regency, Indonesia

The objective of this research is to look into the future of Islamic financial institutions in North Bolaang Mongondow Regency, North Sulwesi Province, Indonesia. The research methods employed are qualitative in nature....

Analysis of the Influence of BOPO, NIM and Inflation on the Profitability of Bank BRI Syariah in 2013-2020

This study analyzes factors affecting BRI Syariah Bank's profitability in Indonesia. This study sampled BRI Syariah Bank's 2013-2020 yearly financial statements that fit the study's requirements. Data for Bopo, Nim, Infl...

The Role of BMT KUBE Sejahtera 036 in Empowering Community Economy in Maccini Gusung, Makassar City, Indonesia

BMT KUBE Sejahtera 036 as an Islamic microfinance institution has not only economic functions but also social functions, which is empowering the community's economy. This study aims to determine the role as well as the s...

Sharia Compliance of Cryptocurrencies: Data-Driven Sharia Compliance Assessment

In recent years, a significant percentage of the population has engaged in the trade and use of cryptocurrencies, demonstrating the widespread interest in the field. The usefulness of cryptocurrencies as an option to fia...

Conception of Money in Islamic Economic Dimension

Money is seen not only as a legal tender (legal tender) but also seen as a commodity, money has two possibilities, namely the possibility leads to the good thing and the possibility leads to the bad thing. Both depend on...

Download PDF file
  • EP ID EP710156
  • DOI
  • Views 51
  • Downloads 0

How To Cite

Stephen Friday Aleke, Paul C. Obidike, Frankline C. S. A. Okeke, Sandra Ijeoma Echeonwu, Kalu O. Emineke, (2022). Sensitivity of Stock Returns Volatility and Money Market Rates: Insight from Nigeria. Talaa, 2(1), -.