How Fluctuations in Money Market Indicators (MMIs) affect Nigerian Exchange Limited (NGX) (2010 – 2023 Q2): Evidences from VAR and Granger Causality Wald Model

Abstract

Since the Black Thursday (October 24) and Black Tuesday (October 29) experiences that scholars widely associated as triggers for the great crash of the U.S Wall street stock market of 1929, there have been constant debates on whether there were Money Market Indicators (MMIs) causal undertone to that crashed performance of the stock market. Instead prior researches dwelled majorly on the effect of macroeconomic indicators on the performance of the market, with a stale and narrowed datasets, and without specifically selecting multiple MMIs as control variables. This creates a gap in research, and explains why this study was aimed at using 5 selected MMIs - Inter-Bank Call Rate (IBCR), Monetary Policy Rate (MPR), Treasury Bill Rate (TBR), Savings Deposit Rate (SDR), and Maximum Lending Rate (MLR) – and with a better updated and expanded monthly datasets (January 2010 – July, 2023) to examine how these selected control variables, individually and collectively, affect the performance of a stock exchange market – using the Nigerian Exchange limited (NGX) market as a case. Expo-facto was the research design for the study since the datasets utilized are already available and retrieved from both the Central Bank of Nigeria (CBN), and NGX

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