A Conditional Restricted Equilibrium Correction Model on Nigerian Stock Exchange All-Share Index and Macroeconomic Indicators with 2008 Global Financial Crisis Effects: A Univariate Framework Approach
| dc.contributor.author | Lawal, G. O. | |
| dc.contributor.author | Aweda, N. O. | |
| dc.contributor.author | Oyeyemi, G. M. | |
| dc.date.accessioned | 2023-07-27T08:48:34Z | |
| dc.date.available | 2023-07-27T08:48:34Z | |
| dc.date.issued | 2015 | |
| dc.description.abstract | This paper employed the modified autoregressive distributed lag (ADRL) procedure to establish a univariate single level relationship existing between the Nigerian Stock Exchange (NSE) All-Share Index and three macroeconomic indicators such as Treasury bill rate, nominal exchange rate and inflation rate in Nigeria. A conditional restricted equilibrium correction model (ECM) was postulated with significant long-run relationship between NSE All-Share Index, exchange rate and inflation rate. The model relates exchange rate and inflation rate negatively with the All-Share Index in the long-run. Treasury bill rate have no long-run relationship with All-Share Index. The short-run dynamics indicated a negative causal relationship between All-Share Index and the three macroeconomic indicators. The results of this paper showed that All-Share index is slow to react to any disequilibrium caused by shocks on these macroeconomic indicators in the long-run. The 2008 global financial crisis had an insignificant negative effect on the NSE All-Share Index due to improved financial deepening. Monetary policy stability is crucial to price level control because inflation is a monetary phenomenon in Nigeria. Therefore, this paper proposed that the efficient use of Treasury bills as apparatus of monetary policy (inflation-targeting) and major source of government financing is essential to the growth of the Nigerian stock market. In addition to efficient monetary policy through interest rate and most importantly exchange rate, a secure fiscal discipline through effective government spending will likely have a positive effect on the All-Share Index rapidly and directly. | en_US |
| dc.description.sponsorship | Self-sponsored | en_US |
| dc.identifier.citation | American Journal of Mathematics and Statistics | en_US |
| dc.identifier.uri | https://uilspace.unilorin.edu.ng/handle/20.500.12484/11618 | |
| dc.language.iso | en | en_US |
| dc.publisher | Scientific and Academic Publishing | en_US |
| dc.relation.ispartofseries | 5(3);150 - 162 | |
| dc.subject | ARDL, All-Share Index, Treasury bills, Nominal exchange rate, 2008 global financial crisis, Financial deepening, Inflation-targeting, Monetary policy | en_US |
| dc.title | A Conditional Restricted Equilibrium Correction Model on Nigerian Stock Exchange All-Share Index and Macroeconomic Indicators with 2008 Global Financial Crisis Effects: A Univariate Framework Approach | en_US |
| dc.type | Article | en_US |