Factor Influencing Changes in the Nigerian Equity Market at Different Forecast Horizons

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dc.contributor.authorGarba, Mohammed Kabir
dc.contributor.authorAfolayan, Razaq Bayo
dc.contributor.authorBanjoko, Alabi Waheed
dc.contributor.authorSalihu, F
dc.date.accessioned2021-10-12T11:33:13Z
dc.date.available2021-10-12T11:33:13Z
dc.date.issued2015
dc.description.abstractThis 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 movementen_US
dc.identifier.urihttps://uilspace.unilorin.edu.ng/handle/20.500.12484/6585
dc.language.isoenen_US
dc.publisherAl-Hikmah Journal of Pure & Applied sciencesen_US
dc.relation.ispartofseriesVol. 2(1);70-78
dc.relation.ispartofseriesVol. 2(1);70-78
dc.subjectAll Share Indexen_US
dc.subjectVector Error Correction Modelen_US
dc.subjectImpulse Response Functionen_US
dc.subjectForecast Error Varianceen_US
dc.subjectDecompositionen_US
dc.titleFactor Influencing Changes in the Nigerian Equity Market at Different Forecast Horizonsen_US
dc.typeArticleen_US

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