Browsing by Author "Salihu, F"

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    Factor Influencing Changes in the Nigerian Equity Market at Different Forecast Horizons
    (Al-Hikmah Journal of Pure & Applied sciences, 2015) Garba, Mohammed Kabir; Afolayan, Razaq Bayo; Banjoko, Alabi Waheed; Salihu, F
    This study investigates the impact of macroeconomic variables on All Share Index (ASI) of the Nigerian Stock Exchange (NSE) and its contribution to equity market fluctuations at different forecast horizons. The study utilizes the Vector Error Correction Model (VECM), Granger Causality test, Impulse Response Function (IRF) and Forecast Error Variance Decomposition (FEVD) in estimating quarterly data from 2000 to 2014 extracted from Statistical Bulletin of the Central Bank of Nigeria (CBN). The results revealed that macroeconomic indicators are inefficient to explain the equity market in the short run while ASI shows responsiveness to the indicators in the long run. It was also discovered that ASI benefits from high exchange rates while inflation rate has an adverse negative effect and particularly serve as a major hindrance to business growth in Nigeria. Findings from this study have implications for policy makers, investors, researchers and stock market regulators on ways to achieve economic development sustainability in the long run via the use of financial indicators as important factors in explaining equity market movement