THE IMPACTS OF INFLATION DYNAMICS AND GLOBAL FINANCIAL CRISES ON STOCK MARKET RETURNS AND VOLATILITY: EVIDENCE FROM NIGERIA
Journal Title: Asian Economic and Financial Review - Year 2014, Vol 4, Issue 5
Abstract
The paper investigates the impacts of inflation dynamics and global financial crises on Stock market returns and volatility in Nigeria. The data sets on monthly All Shares Index Prices of NSE, and consumers? price index (CPI) cover the period of January, 1985 to December, 2010. The GARCH (1, 1) model with multivariate regressors were adopted and the result shows that in the conditional mean equation; inflation exerts insignificant positive impact on stock market returns, inflation volatility exerts significant positive impact on stock market returns and during the global financial crises, inflation exerts significant negative effect on stock market returns. In the conditional variance equation, both inflation and its volatility have negative effects on the volatility of stock market returns, though significant for inflation and insignificant for inflation volatility. And during the global financial crises, inflation has significant positive impact on the conditional variance of stock market returns. The result implies that stock market returns can serve as a good hedge against volatile inflation, but this hedging propensity tends to be illusive if external shocks like the global financial crises affect the stock market condition negatively. However, it becomes imperative for investors to pay attention to variation of inflationary changes when predicting stock market returns and its vulnerability.
Authors and Affiliations
C. G Amaefula| Department of Statistics, Federal University of Technology Owerri, Imo State, Nigeria, B. K Asare| Department of Mathematics, UsmanuDanfodiyo University Sokoto, Sokoto State, Nigeria
Keywords
Related Articles
- EP ID EP2032
- DOI -
- Views 405
- Downloads 22
THE ESTIMATION OF THE SHARE OF TECHNOLOGICAL SPILLOVER IN SECTORIAL-REGIONAL GROWTH (CASE STUDY: 29 PRODUCTION SECTORS OF 30 IRAN PROVINCES)
The main goal of this Research is the estimation of the share of technological spillover in sectorial-regional Growth. At first, a brief literature about growth and technological spillover are presented, and then the pro...
THE TAIWANESE BUSINESSMEN ASSESS THE INVESTMENT ENVIRONMENT OF CHINA – CONSTRUCTION AND APPLICATION OF PR AHP PROGRAM
The economy of China has been rapidly growing in recent years. One of the important reasons is that there are a large number of foreign capital investments made in China. Creating a good investment environment in order t...
CAUSALITY BETWEEN OIL CONSUMPTION AND ECONOMIC GROWTH IN IRAN: AN ARDL TESTING APPROACH
Oil is also very important for the Iran’s economic growth. This paper studies the causal relationships between oil consumption and economic growth for Iran using cointegration and error correction model from annual data...
ARE ISLAMIC BANKS MORE RESILIENT TO GLOBAL FINANCIAL CRISIS THAN CONVENTIONAL BANKS?
Development of global finance in recent years is marketed with the fastest growth in Islamic finance. The recent global financial crisis is characterized by the failure of a number of conventional banks. This led many re...
DIVIDEND POLICY AND INFORMATION ASYMMETRY FROM THE SIGNALING PERSPECTIVE
This study attempts to examine the relevance of dividend policy and information asymmetry From the Signaling Perspective and Compare the relative information content of them. Based on sampling, 88 firms from Tehran Stock...