IIARD International Institute of Academic Research and Development

Journal of Accounting and Financial Management (JAFM )

E-ISSN 2504-8856
P-ISSN 2695-2211
VOL. 10 NO. 4 2024
DOI: https://doi.org/10.56201/jafm.v10.no4.2024.pg1.16

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Macroeconomic Variables and Stock Price Behaviour in Nigeria

M.A. Gbanador

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Abstract

This study investigates the influence of macroeconomic variables on stock price behaviour in Nigeria. The annual time series data spanning through the period of 1995 to 2021 and historical data research design were adopted for the study. The Augmented Dickey Fuller (ADF) and Phillips-Perron test were used to test for stationarity of the variables. Other econometric tests like Ramsey Reset test, Heteroskedasticity test, Cusum test, Johansen cointegration test, Parsimonious Error Correction model and the fully modified Least Square were used for the data analysis. The findings from the short-run result shows that all the macroeconomic variables adopted for the study have no positive and significant influence on stock price except inflation whose impact is positive and significant. However, the result from the long-run analysis reveals that interest rate and money supply have inverse and insignificant influence on stock price behaviour. Inflation has a positive and insignificant effect while exchange rate has a positive and significant influence on stock price behaviour in Nigeria. The result from the Johansen Cointegration and the fully modified least squares shows evidence of long-run relationship between the Dependent and independent variables. The study therefore suggest that the government through its relevant agencies should formulate good macroeconomic policies in order to enhance stock market performance.

keywords:

Exchange rate, Inflation rate, Macroeconomic variables, Stock prices

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References:

Barakat, M.R., Elgazzar, S.H. & Hanafy, K.M. (2016). Impact of macroeconomic variables on
stock markets: Evidence. International Journal of Economics and Finance, 8(1), 195-207.

Chen, X. & Xie, D. (2016). How responsiveness is China’s stock market to the monetary policies.
Proceedings of the International Multi Conference of Engineers and Computer Scientists,
Hong Kong. 2, 16-18.

Connolly, E. & Kohler, M. (2004). News and interest rate expectations: A study of six Central
Banks, Group E & Australia. RBO (Eds). Reserve Bank of Australia

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