Main Article Content
This study evaluates the dynamic influence of activities of macroeconomic variables and stock performance in Nigeria from 1986 to 2015. The study utilizes secondary data sourced from the central bank of Nigeria's statistical bulletin. The study utilized data techniques of the unit root test, Ordinary least square, the Johansen co-integration, the Pairwise Granger causality test, and the error correction model. It was discovered that there is an existence of long-run relationships among market capitalization and macroeconomic variables proxies with inflation rate, interest rate, exchange rate, and money supply account for approximately 77% variations in market capitalization in the long run. The parsimonious error correction model which is rightly and significantly signed with a co-efficient of -0.484794 is an indication that over 48% variation in market capitalization can be corrected over a year using our selected independent variables. The Granger causality test reveals that there is no bidirectional relationship among any of our independent variables and market capitalization; it was thus recommended that due to the influential role of inflation on stock market performance public authorities should implement policies which will curb inflation rate and poverty level through infrastructural development and improved the standard of living. Also, the interest rate should be made moderate to encourage investment and transactions in stocks in Nigeria capital market and the central bank of Nigeria should formulate and use instruments that will maintain inflation at a reasonably low level so that it will not erode the real values of stocks gains.
Okoli SO. The relationship between macroeconomic variables and stock returns in the Tehran stock exchange. International Journal of Academic Research in Business and Social Sciences. 2012;2(6).
Sohail S, Hussain SJ. Long-run and short-run relationship between macroeconomics variables and stock prices in Pakistan. The case study of Lahore stock exchange. Pakistan Economic and Social Review. 2009;47(2):103-198.
Barakat MR, Elgazzar SH, Hanafy KM. Impact of macroeconomic variables on stock markets: Evidence. International Journal of Economics and Finance. 2016;8(1):195-207.
Singh D. Causal relationship between macro-economic variables and stock market: A case study for India. Pakistan Journal of Social Sciences. 2010;30(2):263-274.
Naik KP. Does stock market respond to economic fundamentals? Time-series analysis from Indian data. Journal of Applied Economics and Business Research. 2013;3(1):34-50.
Gaur A, Ostwar P. Interrelationship between Stock Returns and Selected Macroeconomic Variables: An Empirical Study. International Journal of Advanced Research. 2016;4(7):513-517.
Keswani S, Wadhwa B. Effect of macroeconomic variables on stock market: A conceptual study. International Journal of Management, IT & Engineering. 2017;7(10):85-106.
Igoni S, Orlu L, Ezirim IU. Symbiotic disclosure of real sector and financial sector: Evidence in Nigerian GDP and stock capitalization. Asian Journal of Economics, Finance and Management. 2020;2(2):29-38.
Abu-Libdeh H, Harasheh M. Testing for correlation and causality relationships between stock prices and macroeconomic variables: The case of Palestine securities exchange. International Review of Business Research Papers. 2011;7(5):141-154.
Ali M. Impact of micro and macroeconomic variables on emerging stock return: A case on Dhaka stock exchange (DSE). Interdisciplinary Journal of Research in Business. 2011;1(5):8-16.
Junkin K. Macroeconomic determinants of stock market behaviour in South Africa. Rhodes University; 2012.
Kirui E, Wawire NH, Onon PO. Macroeconomic variables, volatility and market capitalization: A case of Nairobi securities exchange, Kenya. International Journal of Economics and Finance. 2014;6(8):214-228.
Maysami RC, Howe LC, Hamzah MA. Examined the relationship between macroeconomic variables and stock market Indices: Cointegration evidence from stock exchange of Singapore’s All-S Sector Indices. Journal Pengurusan. 2004;24(4):47-77.
Hondroyiannis G, Papapetrou E. Macroeconomic influences on the stock market. Journal of Economics and Finance. 2001;25(1):33-49.
Muradoglu G, Metin K, Argae R. Is there a long-run relationship between stock returns and monetary variables: Evidence from an emerging market? Applied Financial Economics. 2001;7(6):641-649.
Maysami RC, Sims HH. Macroeconomics variables and their relationship with stock returns: error correction evidence from Hong Kong and Singapore. The Asian Economic Review. 2002;44(1):69-85.
Ibenta NS. Investment analysis and financial management strategy. Enugu. Institute for Development Studies, University of Nigeria, Enugu Campus; 2005.
Finnerty EJ. Insiders and market efficiency. Journal of Finance. 1976;1141-1148.
Fama EF. Efficient capital markets: A review of theory and empirical work. Journal of Finance. 1970;25:115-146.
Alshogeathri MAM. Macroeconomic determinants of the stock market movements: Empirical evidence from the saudi stock market. An Abstract of a Dissertation, University Manhattan. Kansas State; 2011.
Fama EF. Efficient capital markets. Journal of Finance. 1991;96:1575-1617.
Lintner J. The valuation of Risk Assets and Selection of Risky Investments in Stock Portfolios and Capital Budgets. Review of Economics and Statistics. 1965;47:13-37.
Fama EF, French KR. The capital asset pricing model: Theory and evidence. Journal of Economic Perspectives. 2004;18(3):25-46.
Ross S. The arbitrage theory of capital asset pricing. Journal of Economic Theory. 1976;13:314-360.
Chen N, Roll R, Ross S. Economic forces and the stock market. Journal of Business. 1986;59(3):383-403.
Izedonmi PF, Abdullahi BI. The effects of macroeconomic factors on the Nigerian stock returns: A sectoral approach. Global Journal of Management and Business Research. 2011;11(7):25-30.
Jecheche P. An empirical investigation of arbitrage pricing theory: Case of Zimbabwe. Research in Business and Economic Journal; 2006.
Agrawal R. Synopsis of the thesis submitted in fulfilment of the requirement for Doctor Degree. Department of Professional Development. Jaypee Institute of Information Technology. A-10, sector 62, Nolda India; 2010.
Fama EF. Stock returns, real activity, inflation, and money. American Economic Review. 1981;71(4):545-565.
Fama EF. Stock returns, expected returns and real activity. Journal of Finance. 1990;45:1089-1108.
Mukherjee TK, Naka A. Dynamic relations between Macroeconomic Variables and the Japanese Stock Market: An application of a Vector Error Correction Model. The Journal of Financial Research. 1995;2:223-237.
Barbic T, Jurkic IC. Relationship between macroeconomic fundamentals and stock market indices in selected CEE countries. Ekonomski Pregled. 2011;62(3-4):113-133.
Geetha C, Mohidin R, Chanciran VV, Chong V. The relationship between inflation and stock market: Evidence from Malaysia. United States and China. International Journal of Economics and Management Sciences. 2011;1(2):01-16.
Hosseini SM, Ahmad Z, Lai YW. The role of macroeconomic variables on stock market index in China and India. International Journal of Economics and Finance. 2011;3(6):233-243.
Oseni IO, Nwosa PI. Stock market volatility and macroeconomic variables volatility in Nigeria: An exponential GARCH approach. Journal of Economics and Sustainable Development. 2011;2(10).
Osamwonyi IO, Evbayiro-Osagie EI. The relationship between macroeconomic variables and stock market index in Nigeria. Journal of Economics. 2012;3(1):55-63.
Olugbenga AA. Exchange rate volatility and stock market behaviour. The Nigerian Experience. RJFA; 2012.
Igoni S, Onyejiaku CC, Egbo PO, Ifediora C, Njoku OB, Onwumere JUJ. Critical evaluation of stock market capitalization response to money supply management in the Nigerian economy. International Journal of Advanced Science and Technology. 2020;26(12s):2433-2454.
Igoni S, Ogiri IH, Orlu L. Perceived macroeconomic factors and stock market capitalization experience from the Nigerian perspective. Asian Journal of Economics and Empirical Research. 2020;7(1):105-114.
Baridam DM. Research methods in administrative sciences. Port Harcourt, Sherbrook’s Associates; 2008.
Granger CWJ. Causality, co-integration, and control. Journal of Economic Dynamics and Control. 1996;12:551- 559.
Nwamadi M. Characterization of an exopolymeric flocculent produced by a Brachybacterium sp. Materials. 2013;6(4):1237-1254.
Okoye AC. Capital management and economic growth: A preliminary report of a case study of scavenging activity in Anambra State. Tropical Built Environment Journal. 2010;1(1):73-82.
Soludo CC. Can Nigeria be the China of Africa? Lecture Delivered at the Founders’ Day of the University of Benin, Nigeria. 2016;23.
Aneh. The strategic action plan framework for development. Reference. Global Nutrition Policy Review 2009-2010; 2013.
Gujarati DN, Porter DC. Basic econometrics. (4th ed). New York. McGraw-Hill; 2003.