Logo
Munich Personal RePEc Archive

Analysis of the relationship between Oil price, Exchange rate and Stock market in Nigeria

Raheem, Aremu Idowu and Ayodeji, Musa Adebiyi (2016): Analysis of the relationship between Oil price, Exchange rate and Stock market in Nigeria.

[thumbnail of MPRA_paper_73549.pdf]
Preview
PDF
MPRA_paper_73549.pdf

Download (145kB) | Preview

Abstract

The objective of this paper is to analyze the dynamic effects of oil price shock and exchange rate on the Nigeria stock market using monthly data from June 1999 to December 2014, applying Vector Autoregression (VAR) Model. Granger Causality Test, Impulse Response Functions (IRFs) and Variance Decomposition (VDC) were also used to aid in the analysis of the results. The findings showed that oil price, exchange rate and stock market are not co-integrated. Granger Causality Test result indicate that there is bidirectional causality between stock price and exchange rate, also there is bidirectional causality between oil price and exchange rate but unidirectional causality from oil proceed to exchange rate.

Atom RSS 1.0 RSS 2.0

Contact us: mpra@ub.uni-muenchen.de

This repository has been built using EPrints software.

MPRA is a RePEc service hosted by Logo of the University Library LMU Munich.