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| Macroeconomics Dynamics and Its Implication on Stock Market Return Volatility in Nigeria
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MBAGWU, Onyinyechi Nneka
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Abstract:
The study examined the effect of macroeconomics dynamics (MD) on SM return volatility in Nigeria. In a bid to achieved this objective, MD was proxied with; Money Supply (MS), Interest Rate (INTR), Exchange Rate (EXCHR), Inflation Rate (INFLR) and Real Gross Domestic Product Growth Rate (RGDPGR) while SM return was proxied All Share Index (ASI). The data was collected from the CBN Statistical Bulletin from 1985-2021. It was then examined using the, Descriptive Statistics, Unit Root Test, GARCH Model and Autoregressive Distributive Lag (ARDL) analysis. MS has a positive inconsequential impact on ASI in the short run but a positive consequential impact in the long run, as shown by p-values (0.0588 and 0.0534) on the short and long runs, respectively. INTR has a negative impact on ASI in both the short and long runs. EXCHR had a negative, insignificant influence on ASI over the medium and long term, with p-values of 0.4590 and 0.0473. INFLR negatively affects ASI short- and long-term, and its p-values (0.3071 and 0.3046) are above 5%. RGDPGR positively affects ASI in the short and long term, with p-values of 0.1258 and 0.1374. Its short- and long-term p-values are 0.5314 and 0.5293, respectively, indicating no statistical significance. Hence, it was concluded that MD has no considerable effects on SMR in Nigeria. Thereby recommends that regulatory authorities and policy makers should ensure that there is general stability in money supply and exchange rates, while trying to put the inflationary trends under control and at the same time maintain a stable interest rate regime in the economy in order to achieve improvements in SM performance to bring about desired EG and national development.
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