The Nexus between Stock Market Volatility and Economic Growth in Nigeria
Journal Title: IOSR Journal of Economics and Finance (IOSR-JEF) - Year 2018, Vol 9, Issue 3
Abstract
The study examines the Nexus between stock market volatility and economic growth in Nigeria. An evaluation of literature on the transmission between stock market volatility and economic growth was conducted resulting into specification of an empirical model. The researchers adapted Generalized Autoregressive Conditional Herteroskedascity (GARCH) and Bivariate GARCH (BGARCH) specifications to account for the relationship between the variables. The study employed quarterly data for the period of 1985 to 2015. The data frequency selected ensured an adequate number of observations. The maximum likelihood estimation technique was adopted to estimate the model. The estimated result reveals that both the stock market return and GDP growth rate have Autoregressive Conditional Herteroskedascity (ARCH) and GARCH effects. This is an indication that there are presence of shocks and evidence of uncertainty in the Nigerian stock market as well as the economic sector. The study concludes that innovation passes through from stock market to the economic sector while on the contrary volatility disconnects and appears un-transmittable from the stock market to the economic sector. Finally, it recommends that government or her representative agent should reposition the economy and make it stable so that it could yield positive innovation that could enhance the expansion of the stock market.
Authors and Affiliations
Owoputi James A. (Ph. D), Kayode Olawale Femi, Olayode Omorayewa Adelana
Keywords
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- EP ID EP414808
- DOI 10.9790/5933-0903020107.
- Views 181
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