Have a personal or library account? Click to login
ARDL Inference for Some Macroeconomic Variables on Nigerian Stock Prices Cover

ARDL Inference for Some Macroeconomic Variables on Nigerian Stock Prices

Open Access
|Jun 2024

References

  1. Ake, B. 2010. The role of stock market development in economic growth: evidence from some Euronext countries. International Journal of Financial Research 1(1), 14-20.
  2. Alam, M. M., Uddin, M. G. S., Taufique, R. 2011. The Relationships between Exchange Rates and Stock Prices: Empirical Investigation from Johannesburg Stock Exchange. Inventi Rapid: Emerging Economics, 3, 1-8. http://www.inventi.in/Rapid/EmergingEconomies/Abstract.aspx?ID=2354
  3. Asamoah, D., Agyei-Owusu, B., Ashun, E. 2020. Social network relationship, supply chain resilience and customer-oriented performance of small and medium enterprises in a developing economy. Benchmarking: An International Journal, 27(5), 1793-1813.
  4. Asekunowo, V. O. 2016. The causes of persistent inflation in Nigeria. CBN Journal of Applied Statistics, 7(2), 49-75.
  5. Azubuike, A. 2017. Impact of the Nigerian Stock Exchange on economic growth. MPRA Paper No.75984. Retrieved 20th September from https://mpra.ub.unimuenchen.de/75984/
  6. Celebi, K., Hönig, M. 2019. The impact of macroeconomic factors on the German stock market: Evidence for the crisis, pre-and post-crisis periods. International Journal of Financial Studies, 7(2), 18.
  7. Cheng, F. C., Gul, F. A. 2011. Stock markets, banks and economic growth: some evidence on the role of stock price informativeness. 24th Australasian Finance and Banking Conference, Autralia.
  8. David, I. J., Bamigbala, O. A., Adubisi, D. O., Danjuma, I., Agog, N. S., Ikwuoche, P. O. 2023. Bounds Testing of Exchange Rate Effect on Economic Growth. Journal of Mathematics and Statistics Research, 5(1), 162-167.
  9. Davis, N., Kutan, A. 2003. Inflation and output as predictors of stock returns and volatility: international evidence. Applied Financial Economics, 13(9), 693-700.
  10. Dickey, D. A., Fuller, W. A. 1979. Distribution of the estimators for autoregressive time series with a unit root. Journal of the American statistical association, 74(366a), 427-431.
  11. Dornbusch, R., Fischer, S. 1980. Exchange rates and the Current Account. American Economic Review, 70(5), 960-971.
  12. Eldomiaty, T., Saeed, Y., Hammam, R., AboulSoud, S. 2020. The associations between stock prices, inflation rates, interest rates are still persistent: Empirical evidence from stock duration model. Journal of Economics, Finance and Administrative Science, 25(49), 149-161. DOI 10.1108/JEFAS-10-2018-0105
  13. Engle, R. F., Granger, C. W. 1987. Co-integration and error correction: representation, estimation, and testing. Econometrica: Journal of the Econometric Society, 55(2), 251-276.
  14. Fama, E. F. 1970. Efficient capital markets: A review of theory and empirical work. The Journal of Finance, 25(2), 383–417.
  15. Fama, E. F. 1981. Stock returns, real activity, inflation, and money. American Economic Review, 71(4), 545-565.
  16. Fama, E. F., Schwert, G. W. 1977. Asset returns and inflation. Journal of Financial Economics, 5(2), 115-146.
  17. Farouk, B. U. K., David, I. J., Agog, N. S. 2021. Inflationary Effect on Nigeria Economic Growth: The ARDL Bound Test Approach. Journal of Economics Management and Trade, 27(6), 25-36.
  18. Farouk, B. U. K., David, I. J., Agog, N. S. 2021. Interest Rate and Nigeria Economic Growth Nexus: The ARDL Bounds Technique. Journal of Research in Business and Management, 9(8), 47-52.
  19. Gershunov, A, Schneider, N., Barnett, T. 2001. Low-frequency modulation of the ENSO–Indian monsoon rainfall relationship: Signal or noise? Journal of Climate. 14(11), 2486–2492.
  20. Gilles, C., Leroy, S. F. 1991. On the arbitrage pricing theory. Economic Theory, 1(3), 213–229.
  21. Hunkar, O. 2014. The Relationship between Money Supply and Stock Prices. Retrived 1st May 2024 from www.finance.zacks.com.
  22. Hussain, Z., Sohail, N. 2009. Long Run and Short Run Relationship between Macro Economic Variables and Stock Prices in Pakistan – The case of Lahore Stock Exchange. Pakistan Economic and Social Review, 47, 183-198.
  23. Javangwe, K. Z., Takawira, O. 2022. Exchange rate movement and stock market performance: An application of the ARDL model. Cogent Economics & Finance, 10:1, 2075520, https://doi.org/10.1080/23322039.2022.2075520
  24. Johansen, S. 1991. Estimation and hypothesis testing of co-integration vectors in Gaussian vector autoregressive models. Econometrica: Journal of the Econometric Society, 59(6), 1551-1580.
  25. Katz, M., Lustig, H., Nielsen, L. 2017. Are Stocks Real Assets? Sticky Discount Rates in Stock Markets. Review of Financial Studies, 30(2), 539-587.
  26. Mitra, R. 2017. Stock market and foreign exchange market integration in South Africa. World Development Perspectives, 6, 32–34. http://dx.doi.org/10.1016/j.wdp.2017.05.001
  27. Modigliani, F., Cohn, R. A. 1979. Inflation, rational valuation, and the market. Financial Analysts Journal, 35(2) 24-44.
  28. Nelson, C. R. 1976. Inflation and rates of return on common stocks. The Journal of Finance, 31(2), 471-483.
  29. Nigeria Stock Exchange [NSE]. 2012. Nigeria Stock Exchange 2012 Annual Report.
  30. Ohiomu, S., Enabulu, G. O. 2011. The effect of stock market on economic growth in Nigeria. Journal of Research and National Development, 9(1), 288-295.
  31. Olowe, O., Mathew, O., Fasina, F. 2011. Nigerian stock exchange and economic development. Manager Journal, 14(1), 14-38. Omankhanlen, A. E., Senibi, E. J., Senibi, V. K. 2016. Macroeconomic indicators and stock price movement nexus: A study of the Nigerian stock market. The Social Sciences, 11(13), 3294-3306.
  32. Olugbenga, A. A. 2012. Exchange rate volatility and stock market behaviour: The Nigerian experience. Research Journal of Finance and Accounting, 3, 88–96.
  33. Olulu-Briggs, O. V., Ogbulu, O. M. 2015. Money Supply Money Supply and Asset Prices in Nigeria (2008-2013): An Empirical Review. Research Journal of Finance and Accounting, 6(10), 45-56.
  34. Olusegun, O., Oluwatoyin, M., Fagbeminiyi, F. 2011. Nigerian stock exchange and economic development. University of Bucharest Journal, http://www.manager.unibuc.ro
  35. Pal, S., Garg, A. K. 2019. Macroeconomic surprises and stock market responses a study on Indian stock market, Cogent Economics and Finance, 7, 1-31.
  36. Pesaran, M. H., Shin, Y., Smith, R. J. 2001. Bounds testing approaches to the analysis of Level relationships. Journal of Applied Econometrics, 16, 289–326.
  37. Pesaran, M. H., Shin, Y. 1999. An autoregressive distributed lag modelling approach to cointegration analysis. In: Strom, S. (Ed.), Econometrics and Economic Theory in 20th Century: The Ragnar Frisch Centennial Symposium. Cambridge University Press, Cambridge.
  38. Petros, J. 2012. The effect of the stock exchange on economic growth: a case of Zimbabwe stock exchange. Research in Business and Economics Journal, 6(1), 1-17.
  39. Phillips, P. C. B., Perron, P. 1090. Testing for a unit root in time series regression, Biometrika, 75, 335–346.
  40. Ross, S. A. 1976. The arbitrage theory of capital asset pricing. Journal of Economic Theory, 13(3), 341–360.
  41. Sahu, T. N., Pandey, K. D. 2020. Money Supply and Equity Price Movements during the Liberalized Period in India. Global Business Review, 21(1), 108-123.
  42. Tsen, W. H. 2017. Real exchange rate returns and real stock price returns. International Review of Economics and Finance, http://dx.doi.org/10.1016/j.iref.2017.02.004
  43. Zang, Z. 2021. Stock Returns and Inflation Redux: An Explanation from Monetary Policy in Advanced and Emerging Markets. International Monetary Fund Working Paper, WP/21/219.
Language: English
Page range: 97 - 113
Published on: Jun 30, 2024
Published by: WSB Merito University in Gdansk
In partnership with: Paradigm Publishing Services
Publication frequency: 1 issue per year

© 2024 Ikwuoche John David, Sixtus Kenechukwu Nnamdi, Olateju Alao Bamigbala, published by WSB Merito University in Gdansk
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.